Report
Mean field game of mutual holding with defaultable agents, and systemic risk
| العنوان: | Mean field game of mutual holding with defaultable agents, and systemic risk |
|---|---|
| المؤلفون: | Djete, Mao Fabrice, Guo, Gaoyue, Touzi, Nizar |
| سنة النشر: | 2023 |
| المجموعة: | Mathematics Quantitative Finance |
| مصطلحات موضوعية: | Mathematics - Probability, Quantitative Finance - Risk Management, 60K35, 60H30, 91A13, 91A23, 91B30 |
| الوصف: | We introduce the possibility of default in the mean field game of mutual holding of Djete and Touzi [11]. This is modeled by introducing absorption at the origin of the equity process. We provide an explicit solution of this mean field game. Moreover, we provide a particle system approximation, and we derive an autonomous equation for the time evolution of the default probability, or equivalently the law of the hitting time of the origin by the equity process. The systemic risk is thus described by the evolution of the default probability. |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2303.07996 |
| رقم الانضمام: | edsarx.2303.07996 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |