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: https://uni-sydney.zoom.us/j/87491585109 

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.  

http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html 

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

Kind regards, 

Anna