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From Disequilibrium Markets to Equilibrium
Christian Lax, Torsten Trimborn
The modeling of financial markets as disequilibrium models by ordinary differential equations has become a popular modeling tool. One famous example of such a model is the Beja-Gol…
Stylized Facts and Agent-Based Modeling
Simon Cramer, Torsten Trimborn
The existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic ma…
Recent developments in controlled crowd dynamics
M. K. Banda, M. Herty, T. Trimborn
We survey recent results on controlled particle systems. The control aspect introduces new challenges in the discussion of properties and suitable mean field limits. Some of the as…
Microscopic Derivation of Mean Field Game Models
Martin Frank, Michael Herty, Torsten Trimborn
Mean field game theory studies the behavior of a large number of interacting individuals in a game theoretic setting and has received a lot of attention in the past decade (Lasry a…
Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models
Maximilian Beikirch, Simon Cramer, Martin Frank +3
In science and especially in economics, agent-based modeling has become a widely used modeling approach. These models are often formulated as a large system of difference equations…