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Mean field games of timing and models for bank runs

Citations

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Cited by:

  1. Soren Christensen & Berenice Anne Neumann & Tobias Sohr, 2020. "Competition versus Cooperation: A class of solvable mean field impulse control problems," Papers 2010.06452, arXiv.org, revised Apr 2021.
  2. Clémence Alasseur & Imen Ben Taher & Anis Matoussi, 2020. "An Extended Mean Field Game for Storage in Smart Grids," Journal of Optimization Theory and Applications, Springer, vol. 184(2), pages 644-670, February.
  3. Marcel Nutz & Yuchong Zhang, 2021. "Mean Field Contest with Singularity," Papers 2103.04219, arXiv.org.
  4. Andreea Minca & Johannes Wissel, 2020. "Dynamic Leveraging–Deleveraging Games," Operations Research, INFORMS, vol. 68(1), pages 93-114, January.
  5. Aditya Maheshwari & Andrey Sarantsev, 2017. "Modeling Financial System with Interbank Flows, Borrowing, and Investing," Papers 1707.03542, arXiv.org, revised Oct 2018.
  6. Roxana Dumitrescu & Marcos Leutscher & Peter Tankov, 2024. "Energy transition under scenario uncertainty: a mean-field game of stopping with common noise," Mathematics and Financial Economics, Springer, volume 18, number 4, December.
  7. Federico Cannerozzi & Giorgio Ferrari, 2024. "Cooperation, Correlation and Competition in Ergodic N-player Games and Mean-field Games of Singular Controls: A Case Study," Papers 2404.15079, arXiv.org, revised Apr 2025.
  8. Bouveret, Géraldine & Dumitrescu, Roxana & Tankov, Peter, 2022. "Technological change in water use: A mean-field game approach to optimal investment timing," Operations Research Perspectives, Elsevier, vol. 9(C).
  9. Christoph Belak & Daniel Hoffmann & Frank T. Seifried, 2020. "Continuous-Time Mean Field Games with Finite StateSpace and Common Noise," Working Paper Series 2020-05, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  10. Giorgio Ferrari & Anna Pajola, 2025. "Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise," Papers 2507.19123, arXiv.org.
  11. Salhab, Rabih & Le Ny, Jérôme & Malhamé, Roland P. & Zaccour, Georges, 2022. "Dynamic marketing policies with rating-sensitive consumers: A mean-field games approach," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1079-1093.
  12. Marcel Nutz & Yuchong Zhang, 2023. "Mean Field Contest with Singularity," Mathematics of Operations Research, INFORMS, vol. 48(2), pages 1095-1118, May.
  13. Balbus, Lukasz & Dziewulski, Pawel & Reffett, Kevin & Wozny, Lukasz, 2022. "Markov distributional equilibrium dynamics in games with complementarities and no aggregate risk," Theoretical Economics, Econometric Society, vol. 17(2), May.
  14. Marcel Nutz & Yuchong Zhang, 2019. "A Mean Field Competition," Management Science, INFORMS, vol. 44(4), pages 1245-1263, November.
  15. Marcel Nutz & Yuchong Zhang, 2017. "A Mean Field Competition," Papers 1708.01308, arXiv.org.
  16. Ferrari, Giorgio & Pajola, Anna, 2025. "Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise," Center for Mathematical Economics Working Papers 751, Center for Mathematical Economics, Bielefeld University.
  17. Lu-ping Liu & Wen-sheng Jia, 2024. "Well-Posedness for Mean Field Games with Finite State and Action Space," Journal of Optimization Theory and Applications, Springer, vol. 201(1), pages 36-53, April.
  18. Dianetti, Jodi & Dumitrescu, Roxana & Ferrari, Giorgio & Xu, Renyuan, 2025. "Entropy Regularization in Mean-Field Games of Optimal Stopping," Center for Mathematical Economics Working Papers 755, Center for Mathematical Economics, Bielefeld University.
  19. Jodi Dianetti & Giorgio Ferrari & Markus Fischer & Max Nendel, 2023. "A Unifying Framework for Submodular Mean Field Games," Mathematics of Operations Research, INFORMS, vol. 48(3), pages 1679-1710, August.
  20. Dianetti, Jodi & Ferrari, Giorgio & Fischer, Markus & Nendel, Max, 2019. "Submodular Mean Field Games. Existence and Approximation of Solutions," Center for Mathematical Economics Working Papers 621, Center for Mathematical Economics, Bielefeld University.
  21. Cannerozzi, Federico & Ferrari, Giorgio, 2024. "Cooperation, Correlation and Competition in Ergodic $N$-Player Games and Mean-Field Games of Singular Controls: A Case Study," Center for Mathematical Economics Working Papers 691, Center for Mathematical Economics, Bielefeld University.
  22. Rene Carmona, 2020. "Applications of Mean Field Games in Financial Engineering and Economic Theory," Papers 2012.05237, arXiv.org.
  23. Marcel Nutz & Jaime San Martin & Xiaowei Tan, 2018. "Convergence to the Mean Field Game Limit: A Case Study," Papers 1806.00817, arXiv.org, revised May 2019.
  24. Burzoni, Matteo & Campi, Luciano, 2023. "Mean field games with absorption and common noise with a model of bank run," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 206-241.
  25. Hardhik Mohanty & Bhaskar Krishnamachari, 2026. "Who Restores the Peg? A Mean-Field Game Approach to Model Stablecoin Market Dynamics," Papers 2601.18991, arXiv.org, revised May 2026.
  26. Ren'e Carmona & Mathieu Lauri`ere, 2021. "Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance," Papers 2107.04568, arXiv.org.
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