Wednesday, December 21, 2022 - 14:00 in V10-122
Mean field game of mutual holding and systemic risk
A talk in the Mathematical finance / Insurance mathematics series by
Nizar Touzi from École Polytechnique
| Abstract: |
We provide an explicit solution for the mean field game of mutual holding with defaultable agents modeled by absorbtion at zero. The optimal dynamics are defined by a Mckean-Vlasov SDE with discontinuous diffusion coefficient and nonsmooth drift coefficient. We also provide an autonomous characterization of the distribution of defaults.
Within the CRC this talk is associated to the project(s): C4 |
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