Mean Field Games of Timing and Models for Bank Runs

Rene A. Carmona, François Delarue, Daniel Lacker

Research output: Contribution to journalArticle

8 Scopus citations

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 languageEnglish (US)
Pages (from-to)217-260
Number of pages44
JournalApplied Mathematics and Optimization
Volume76
Issue number1
DOIs
StatePublished - Aug 1 2017

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Applied Mathematics

Keywords

  • Bank runs
  • Mean field games
  • Optimal stopping
  • Supermodular games

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