Fetching the paper…
Reading the bibliography…
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of $N$ banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the system depends on the rate of inter-bank borrowing and lending.
Topics in propagation of chaos
A.-S. Sznitman · 1991
Earlier work this paper cites.
Dynamic Noncooperative Game Theory (2nd Edition)
T. Başar and G. J. Olsder · 1999
Earlier work this paper cites.
Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
M. Huang, P.E. Caines, and R.P. Malhamé · 2006
Earlier work this paper cites.
Jeux à champ moyen i. le cas stationnaire
J.-M. Lasry and P.-L. Lions · 2006
Earlier work this paper cites.
Jeux à champ moyen ii. horizon fini et contrôle optimal
J.-M. Lasry and P.-L. Lions · 2006
Earlier work this paper cites.
Large population cost coupled LQG problems with nonuniform agents: individual mass behavior and decentralized ϵ \epsilon -Nash equilibria
M. Huang, P.E. Caines, and R.P. Malhamé · 2007
Earlier work this paper cites.
Mean field games
J.-M. Lasry and P.-L. Lions · 2007
Earlier work this paper cites.
Nonlinear SDEs driven by Lévy processes and related PDEs
B. Jourdain, S. Méleard, and W. Woyczynski · 2008
Cited alongside, same era.
Mean field games and applications
O. Guéant, J.-M. Lasry, and P.-L. Lions · 2010
Cited alongside, same era.
Human crowds and groups interactions: a mean field games approach
A. Lachapelle · 2010
Cited alongside, same era.
Linear quadratic mean field games
A. Bensoussan, K.C.J. Sung, S.C.P. Yam, and S.P. Yung · 2011
Cited alongside, same era.
Stability in a model of inter-bank lending
J.-P. Fouque and T. Ichiba · 2011
Cited alongside, same era.
Optimal control of McKean-Vlasov stochastic dynamics
R. Carmona and F. Delarue · 2012
Cited alongside, same era.
Probabilistic analysis of mean field games
R. Carmona and F. Delarue · 2013
Closest in time.
Control of McKean-Vlasov versus Mean Field Games
R. Carmona, F. Delarue, and A. Lachapelle · 2013
Closest in time.
A probabilistic weak formulation of mean field games and applications
R. Carmona and D. Lacker · 2013
Closest in time.
Handbook on Systemic Risk
J.-P. Fouque and J. Langsam Editors · 2013
Closest in time.
Systemic risk illustrated
J.-P. Fouque and L.-H. Sun · 2013
Closest in time.
Diversification in financial networks may increase systemic risk
J. Garnier, G. Papanicolaou, and T.-W. Yang · 2013
Closest in time.
Large deviations for a mean field model of systemic risk
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
R. Carmona · 2013
Cited alongside, same era.
J. Garnier, G. Papanicolaou, and T.-W. Yang · 2013
Closest in time.