2021/07/20 by Bertucci, Charles · 1 citation
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Economic theories and models #Financial Risk and Volatility Modeling
paper · pdf · doi:10.48550/arxiv.2107.09531
We present the notion of monotone solution of mean field games master equations in the case of a continuous state space. We establish the existence, uniqueness and stability of such solutions under standard assumptions. This notion allows us to work with solutions which are merely continuous in the measure argument, in the case of first order master equations. We study several structures of common noises, in particular ones in which common jumps (or aggregate shocks) can happen randomly, and ones in which the correlation of randomness is carried by an additional parameter.