MEAN FIELD GAME OF MUTUAL HOLDING

• 成果类型: Article
• 署名作者: Djete, Mao fabrice; Touzi, Nizar
• 署名单位: Universite Paris Cite; Institut Polytechnique de Paris; ENSTA Paris
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/23-AAP1993
• 发表日期: 2024
• 页码: 4999-5031
• 关键词: systemic risk; MODEL

摘要

We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding N-agent model. The induced mean field dynamics appear naturally in a form which is not covered by standard McKean-Vlasov stochastic differential equations. We study the corresponding mean field game of mutual holding in the absence of common noise. Our first main result provides an explicit equilibrium of this mean field game, defined by a bang-bang control consisting in holding those competitors with positive drift coefficient of their dynamic value. We next use this mean field game equilibrium to construct (approximate) Nash equilibria for the corresponding N-player game. We also provide some numerical illustrations of our mean field game equilibrium which highlight some unexpected effects induced by our results.