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Mean field games of timing and models for bank runs

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  • Rene Carmona
  • Francois Delarue
  • Daniel Lacker

Abstract

The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly review the economic and game theoretic contributions at the root of our effort, and we develop a mathematical theory for continuous-time stochastic games where the strategic decisions of the players are merely choices of times at which they leave the game, and the interaction between the strategic players is of a mean field nature.

Suggested Citation

  • Rene Carmona & Francois Delarue & Daniel Lacker, 2016. "Mean field games of timing and models for bank runs," Papers 1606.03709, arXiv.org, revised Jan 2017.
    • Handle: RePEc:arx:papers:1606.03709
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    References listed on IDEAS

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