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Large Banks and Systemic Risk: Insights from a Mean-Field Game Model
This paper presents a dynamic game framework to analyze the role of large banks in the interbank market.
Principal agent mean field games in REC markets
We find through these techniques that the optimal penalty function is linear in the agents' state, suggesting the optimal emissions regulation market is more akin to a tax or rebate, regardless of the principal's utility function.
Exploratory LQG Mean Field Games with Entropy Regularization
We study a general class of entropy-regularized multi-variate LQG mean field games (MFGs) in continuous time with $K$ distinct sub-population of agents.
A Mean-Field Game Approach to Equilibrium Pricing in Solar Renewable Energy Certificate Markets
As such, the SREC market can be viewed as a stochastic game, where agents interact through the SREC price.
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