Mean Field Games of Timing and Models for Bank Runs

René Carmona (1) , François Delarue (2) , Daniel Lacker (1)

1 ORFE - Department of Operations Research and Financial Engineering
2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

Domaines: Probabilités [math.PR]

René Carmona, François Delarue, Daniel Lacker. Mean Field Games of Timing and Models for Bank Runs. Applied Mathematics and Optimization, 2017, 76 (1), pp.217 - 260. ⟨10.1007/s00245-017-9435-z⟩. ⟨hal-01868150⟩