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01100nam a2200193Ia 4500 |
| 001 |
10.3390-risks6030090 |
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220706s2018 CNT 000 0 und d |
| 020 |
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|a 22279091 (ISSN)
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| 245 |
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|a Mean field game with delay: A toy model
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| 260 |
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|b MDPI AG
|c 2018
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| 856 |
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|z View Fulltext in Publisher
|u https://doi.org/10.3390/risks6030090
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|a We study a toy model of linear-quadratic mean field game with delay. We “lift” the delayed dynamic into an infinite dimensional space, and recast the mean field game system which is made of a forward Kolmogorov equation and a backward Hamilton-Jacobi-Bellman equation. We identify the corresponding master equation. A solution to this master equation is computed, and we show that it provides an approximation to a Nash equilibrium of the finite player game. © 2018 by the authors. Licensee MDPI, Basel, Switzerland.
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|a Inter-bank borrowing and lending
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|a Master equation
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| 650 |
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|a Nash equilibrium
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| 650 |
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|a Stochastic game with delay
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| 700 |
1 |
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|a Fouque, J.-P.
|e author
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| 700 |
1 |
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|a Zhang, Z.
|e author
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| 773 |
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|t Risks
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