SMS scnews item created by Anna Aksamit at Wed 3 Mar 2021 2221
Type: Seminar
Distribution: World
Expiry: 17 Mar 2021
Calendar1: 10 Mar 2021 2000-2100
CalLoc1: zoom talk
Auth: (aaks9559) in SMS-WASM

Stochastics and Finance: Matteo Burzoni -- Mean Field Games with absorption and a model of bank run

Dear All, 

You are kindly invited to attend the next Stochastics and Finance seminar.  On Wednesday
March 10 at 8pm (Sydney time) Matteo Burzoni will give a talk via Zoom.  Please note
this is an evening seminar.  

Zoom link: 

Speaker: Dr Matteo Burzoni (University of Milan) 

Title: Mean Field Games with absorption and a model of bank run 

Abstract: We consider a MFG problem obtained as the limit of N-particles systems with an
absorbing region.  Once a particle hits such a region, it leaves the game and the rest
of the system continues to play with N-1 particles.  We study existence of equilibria
for the limiting problem in a framework with common noise and establish the existence of
epsilon Nash equilibria for the N-particles problems.  These results are applied to a
novel model of bank run.  This is a joint work with L.  Campi. 

Please feel free to forward this message to anyone who might be interested in this

Kind regards, 


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