Mean field games of timing and models for bank runs

Rene Carmona, Francois Delarue and Daniel Lacker

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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.

Date: 2016-06, Revised 2017-01
New Economics Papers: this item is included in nep-gth and nep-hpe
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1606.03709

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