Mean field games with absorption and common noise with a model of bank run

DOI10.1016/j.spa.2023.07.007zbMath1528.91008arXiv2107.00603OpenAlexW3177286391MaRDI QIDQ6072906

Matteo Burzoni, Luciano Campi

Publication date: 15 September 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.00603

zbMATH Keywords

Nash equilibriabank runsmean field gamescommon noiseabsorbing boundary

Mathematics Subject Classification ID

Applications of game theory (91A80) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

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