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We consider a mean-field model for large banking systems, which takes into account default and recovery of the institutions.
An introduction to probability theory and its applications. Vol. I
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Individual and mass behaviour in large population stochastic wireless power control problems: centralized and nash equilibrium solutions
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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
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Jeux à champ moyen. I. Le cas stationnaire
J.-M. Lasry and P.-L. Lions · 2006
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Jeux à champ moyen. II. Horizon fini et contrôle optimal
J.-M. Lasry and P.-L. Lions · 2006
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Large-population cost-coupled LQG problems with nonuniform agents: individual-mass behavior and decentralized
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J.-M. Lasry and P.-L. Lions · 2007
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