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Mean Field Games and Systemic Risk
14 references·0 citing·31 second hop
Mean Field Games and Systemic Risk (2013)Mean Field Games and Systemic RiskLectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (2016)Lectures on BSDEs, Stochastic…Linear-Quadratic Mean Field Games (2015)Linear-Quadratic Mean Field G…A probabilistic weak formulation of mean field games and applications (2015)A probabilistic weak formulat…Stability in a Model of Interbank Lending (2013)Stability in a Model of Inter…Probabilistic Analysis of Mean-Field Games (2013)Probabilistic Analysis of Mea…Large Deviations for a Mean Field Model of Systemic Risk (2013)Large Deviations for a Mean F…Handbook on Systemic Risk (2013)Handbook on Systemic RiskControl of McKean–Vlasov dynamics versus mean field games (2012)Control of McKean–Vlasov dyna…Mean Field Games and Applications (2010)Mean Field Games and Applicat…Nonlinear SDEs driven by Lévy processes and related PDEs (2007)Nonlinear SDEs driven by Lévy…Mean field games (2007)Mean field gamesLarge-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria (2007)Large-Population Cost-Coupled…Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Large population stochastic d…Dynamic Noncooperative Game Theory, 2nd Edition (1998)Dynamic Noncooperative Game T…Equilibrium points in n -person games (1950)The Bargaining Problem (1950)Mean Field Games Models—A Brief Survey (2013)Theory of games and economic behavior (2019)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Stochastic controls : Hamiltonian systems and HJB equations (1999)Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Mean Field Games and systemic risk (2015)Dynamic noncooperative game theory (1995)The Theory of Learning in Games (1998)Dynamic Noncooperative Game Theory (1982)Games with Incomplete Information Played by “Bayesian” Players, I–III: Part I. The Basic Model (2004)A Maximum Principle for SDEs of Mean-Field Type (2010)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)Controlled Markov Processes and Viscosity Solutions (2005)Mean field games with common noise (2016)The Master Equation and the Convergence Problem in Mean Field Games (2019)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)A general characterization of the mean field limit for stochastic differential games (2015)On the connection between symmetric $N$-player games and mean field games (2017)A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria (2022)Risk-Sensitive Mean-Field Games (2013)Mean field game of controls and an application to trade crowding (2017)Stackelberg vs. Nash in Security Games: An Extended Investigation of Interchangeability, Equivalence, and Uniqueness (2011)Stackelberg vs. Nash in Security Games: An Extended Investigation of Interchangeability, Equivalence, and Uniqueness (2011)The Emergence of Global Systemic Risk (2015)House Price Beliefs And Mortgage Leverage Choice (2018)
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References

  • 2007Mean field games2,638 cited
  • 2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle1,574 cited
  • 1998Dynamic Noncooperative Game Theory, 2nd Edition1,185 cited
  • 2007Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria1,092 cited
  • 2010Mean Field Games and Applications589 cited
  • 2013Probabilistic Analysis of Mean-Field Games435 cited
  • 2013Handbook on Systemic Risk257 cited
  • 2012Control of McKean–Vlasov dynamics versus mean field games238 cited
  • 2015Linear-Quadratic Mean Field Games233 cited
  • 2015A probabilistic weak formulation of mean field games and applications178 cited
  • 2016Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications157 cited
  • 2013Large Deviations for a Mean Field Model of Systemic Risk107 cited
  • 2007Nonlinear SDEs driven by Lévy processes and related PDEs83 cited
  • 2013Stability in a Model of Interbank Lending74 cited

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