Optimal Mutual Holding and Systemic Risk

Professor Nizar Touzi
Date & Time
09 Jun 2021 (Wed) | 04:00 PM - 05:00 PM
Venue
Online via ZOOM

ABSTRACT

We model the optimal mutual holding problem within a continuum of agent by a mean field game. In the absence of common noise, the problem is solved explicitly by a bang-bang optimal holdig policy. In particular the optimal dynamics are defined by a Mckean-Vlasov SDE with discontinuous diffusion coefficient.

Zoom Link:

https://cityu.zoom.us/j/97107143789?pwd=dStYWHFnV1ZPR2FuVk41SUtCWWlldz09

Meeting ID:971 0714 3789

Password: 034786