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We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions.
The quadratic problem for systems with time delays
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J.-P. Fouque and L.-H. Sun · 2013
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Diversification in financial networks may increase systemic risk
J. Garnier, G. Papanicolaou, and T.-W. Yang
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Large deviations for a mean field model of systemic risk
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Jeux à champ moyen i. le cas stationnaire
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Jeux à champ moyen ii. horizon fini et contrôle optimal
J.-M. Lasry and P.-L. Lions
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A general characterization of the mean field limit for stochastic differential games
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