有基准利率的同业拆借：一类奇异控制博弈的帕累托最优解
Interbank lending with benchmark rates: Pareto optima for a class of singular control games
摘要：
基于对银行间同业拆借利率动态模型的研究，我们分析了一类奇异控制的随机微分对策。我们描述了这个游戏的帕累托最优，并展示了如何通过监管机构的干预，其政策是一个奇异的随机控制问题的解决方案，他们可以实现。利用一类新的具有分段连续自由边界的Skorokhod问题的解刻画了Pareto最优解。帕累托最优的政策，对应于执行银行间拆借利率的内生边界。帕累托最优和纳什均衡之间的分析比较提供了洞察监管干预对银行间利率稳定性的影响。
英文摘要：
We analyze a class of stochastic differential games of singular control, motivated by the study of a dynamic model of interbank lending with benchmark rates. We describe Pareto optima for this game and show how they may be achieved through the intervention of a regulator, whose policy is a solution to a singular stochastic control problem. Pareto optima are characterized in terms of the solutions to a new class of Skorokhod problems with piecewise-continuous free boundary. Pareto optimal policies are shown to correspond to the enforcement of endogenous bounds on interbank lending rates. Analytical comparison between Pareto optima and Nash equilibria provides insight into the impact of regulatory intervention on the stability of interbank rates.
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