Systemic Risk and Interbank Lending

A probabilistic weak formulation of mean field games and applications

(2015) René Carmona et al.   ANNALS OF APPLIED PROBABILITY

Mean Field Games and systemic risk

(2015) René Carmona et al.   Communications in Mathematical Sciences

Linear-Quadratic Mean Field Games

(2015) A. Bensoussan et al.   JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS

A general characterization of the mean field limit for stochastic differential games

(2015) Daniel Lacker   PROBABILITY THEORY AND RELATED FIELDS

OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

(2013) Gilles-Edouard Espinosa et al.   MATHEMATICAL FINANCE

A class of degenerate stochastic differential equations with non-Lipschitz coefficients

(2013) K SURESH KUMAR   PROCEEDINGS OF THE INDIAN ACADEMY OF SCIENCES-MATHEMATICAL SCIENCES

Stability in a Model of Interbank Lending

(2013) Jean-Pierre Fouque et al.   SIAM Journal on Financial Mathematics

Large Deviations for a Mean Field Model of Systemic Risk

(2013) Josselin Garnier et al.   SIAM Journal on Financial Mathematics

Forward–backward linear quadratic stochastic optimal control problem with delay

(2012) Jianhui Huang et al.   SYSTEMS & CONTROL LETTERS

Control of McKean–Vlasov dynamics versus mean field games

(2012) René Carmona et al.   Mathematics and Financial Economics