COOKIES: By using this website you agree that we can place Google Analytics Cookies on your device for performance monitoring. |

University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Mean Field Game of Mutual Holding and systemic risk

## Mean Field Game of Mutual Holding and systemic riskAdd to your list(s) Download to your calendar using vCal - Nizar Touzi (Ecole Polytechnique Paris)
- Tuesday 19 April 2022, 10:00-11:00
- Seminar Room 1, Newton Institute.
If you have a question about this talk, please contact nobody. FD2W03 - Optimal control and fractional dynamics We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding N-agent model. The induced mean field dynamics appear naturally in a form which is not covered by standard McKean-Vlasov stochastic differential equations. We study the corresponding mean field game of mutual holding in the absence of common noise. Our first main result provides an explicit equilibrium of this mean field game, defined by a bang–bang control consisting in holding those competitors with positive drift coefficient of their dynamic value. We next use this mean field game equilibrium to construct (approximate) Nash equilibria for the corresponding N–player game. Finally, we extend the model to allow for default upon hitting the origin. Then, the equilibrium distribution exhibits an atom at the origin whose mass evolution is characterized by a ordinary differential equation. This talk is part of the Isaac Newton Institute Seminar Series series. ## This talk is included in these lists:- All CMS events
- Featured lists
- INI info aggregator
- Isaac Newton Institute Seminar Series
- School of Physical Sciences
- Seminar Room 1, Newton Institute
- bld31
Note that ex-directory lists are not shown. |
## Other listsCambridge University Southeast Asian Forum Active Materials power## Other talksBounds on mixing norms for advection diļ¬usion equations in the whole space via Fourier splitting and decay characters Title: AAA Screening: past, present, future Members' Christmas Evening and AGM Gains and Gainers on Transatlantic Trade in Enslaved Africans and Slave-Based Commodities: Towards a Global Approach Instrumentation and measurements in high Reynolds number flows How microglia shape synapse homeostasis |