Abstract
The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly review the economic and game theoretic contributions at the root of our effort, and we develop a mathematical theory for continuous-time stochastic games where the strategic decisions of the players are merely choices of times at which they leave the game, and the interaction between the strategic players is of a mean field nature.
Original language | English (US) |
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Pages (from-to) | 217-260 |
Number of pages | 44 |
Journal | Applied Mathematics and Optimization |
Volume | 76 |
Issue number | 1 |
DOIs | |
State | Published - Aug 1 2017 |
All Science Journal Classification (ASJC) codes
- Control and Optimization
- Applied Mathematics
Keywords
- Bank runs
- Mean field games
- Optimal stopping
- Supermodular games