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arXiv 1606.03709math.PRecon.GNq-fin.EC
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时点均场博弈及银行挤兑模型

Mean field games of timing and models for bank runs

Rene Carmona, Francois Delarue, Daniel Lacker

AI总结:

本文提出时点均场博弈问题,通过连续时间下的银行挤兑动态模型引入,构建了连续时间随机博弈的数学理论,研究玩家退出时机策略及均场互动机制。

摘要:

本文旨在引入一组称为时点均场博弈的问题。我们通过连续时间下的银行挤兑动态模型来阐述该问题的提出。我们简要回顾了经济和博弈论方面的贡献,并发展了连续时间随机博弈的数学理论,其中玩家的战略决策仅仅是选择退出游戏的时间,而玩家之间的互动具有均场性质。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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