Mean field games with controlled jump–diffusion dynamics: Existence results and an illiquid interbank market model

Stochastic Processes and their Applications

Volumn 130, Issue 11, 2020, Pages 6927-6964

  Benazzoli, Chiara ^a   Campi, Luciano ^b,c   Di Persio, Luca ^d  

^a UNIVERSITY OF TRENTO   (Italy)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c UNIVERSITY OF MILAN   (Italy)

^d UNIVERSITY OF VERONA   (Italy)

Author keywords

Controlled martingale problem; Illiquid interbank market model; Jump measures; Martingale measure; Mean field games; Relaxed controls

Indexed keywords

COMMERCE; POISSON DISTRIBUTION;

DIFFUSION DYNAMICS; DIFFUSION PROCESS; EXISTENCE OF A SOLUTIONS; EXISTENCE RESULTS; INTENSITY FUNCTIONS; MARTINGALE PROBLEM; NUMERICAL RESULTS; OPTIMAL STRATEGIES;

DIFFUSION;

EID: 85088964125     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2020.07.004     Document Type: Article

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