181 citations · 548 across the 46 of their papers we have counts for
4 papers · 1 filter
Finite State Mean Field Games with Major and Minor Players
Rene Carmona, Peiqi Wang
The goal of the paper is to develop the theory of finite state mean field games with major and minor players when the state space of the game is finite. We introduce the finite pla…
An Alternative Approach to Mean Field Game with Major and Minor Players, and Applications to Herders Impacts
Rene Carmona, Peiqi Wang
The goal of the paper is to introduce a formulation of the mean field game with major and minor players as a fixed point on a space of controls. This approach emphasizes naturally…
Systemic Risk and Stochastic Games with Delay
Rene Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi +1
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of banks is described by coupl…
Mean field games of timing and models for bank runs
Rene Carmona, Francois Delarue, Daniel Lacker
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 se…