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math.PR2022
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
Matteo Burzoni, Alekos Cecchin, Andrea Cosso
We provide a new version of the Tikhonov theorem for both two-scale forward systems and also two-scale forward-backward systems of stochastic differential equations, which also cov…
math.PR2021
Mean field games with absorption and common noise with a model of bank run
Matteo Burzoni, Luciano Campi
We consider a mean field game describing the limit of a stochastic differential game of -players whose state dynamics are subject to idiosyncratic and common noise and that can…