Mean field games of timing and models for bank runs

TL;DR

This paper introduces mean field games of timing, modeling strategic decisions as timing choices in a continuous-time stochastic setting, motivated by bank run dynamics, and develops the mathematical theory behind these models.

Contribution

It formulates a new class of mean field games focused on timing decisions and provides a mathematical framework for their analysis, inspired by bank run models.

Findings

Developed a mathematical theory for mean field games of timing.

Applied the model to bank run scenarios.

Provided insights into strategic timing interactions in large populations.

Abstract

The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly review the economic and game theoretic contributions at the root of our effort, and we develop a mathematical theory for continuous-time stochastic games where the strategic decisions of the players are merely choices of times at which they leave the game, and the interaction between the strategic players is of a mean field nature.