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演講者:孫立憲 教授 (中央大學統計研究所)

講題:Discussion on Mean Field Games: The Application of Systemic Risk

時間:12/17(二) 14:00

地點:校本部第二綜合大樓8樓B808教室

 

摘要: We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log- monetary reserves of N banks is described by coupled diffusions driven by controls with delay in their drifts. Banks are minimizing their finite-horizon objective functions which take into account a quadratic cost for lending or borrowing and a linear incentive to borrow if the reserve is low or lend if the reserve is high relative to the average capitalization of the system. As such, our problem is a linear-quadratic stochastic game with delay between N players. An open-loop Nash equilibrium is obtained using a system of fully coupled forward and advanced backward stochastic differential equations. In addition, we discuss the system of heterogeneous groups under relative performance.

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