Mean field game of mutual holding with defaultable agents, and systemic risk - Archive ouverte HAL
Article Dans Une Revue ArXiv e-prints Année : 2023

Mean field game of mutual holding with defaultable agents, and systemic risk

Résumé

We introduce the possibility of default in the mean field game of mutual holding of Djete and Touzi [11]. This is modeled by introducing absorption at the origin of the equity process. We provide an explicit solution of this mean field game. Moreover, we provide a particle system approximation, and we derive an autonomous equation for the time evolution of the default probability, or equivalently the law of the hitting time of the origin by the equity process. The systemic risk is thus described by the evolution of the default probability.

Dates et versions

hal-04565544 , version 1 (02-05-2024)

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Citer

Mao Fabrice Djete, Gaoyue Guo, Nizar Touzi. Mean field game of mutual holding with defaultable agents, and systemic risk. ArXiv e-prints, 2023. ⟨hal-04565544⟩
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