Guardado en:
| Autores principales: | , , , , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2025
|
| Materias: | |
| Acceso en línea: | https://arxiv.org/abs/2503.06967 |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866916648114454528 |
|---|---|
| author | Aksamit, Anna Das, Kaustav Guo, Ivan Nam, Kihun Zhou, Zhou |
| author_facet | Aksamit, Anna Das, Kaustav Guo, Ivan Nam, Kihun Zhou, Zhou |
| contents | We consider a continuum of carbon-emitting firms who seek to maximise their stock price, and a regulator (e.g., Government) who wishes for the economy to flourish, whilst simultaneously punishing firms who behave non-green. Interpreting the regulator as a major player and the firms as the minor players, we model this setting through a mean field game with major and minor players. We extend the stochastic maximum principle derived by Carmona & Zhu [A probabilistic approach to mean field games with major and minor players. Annals of Applied Probability, 2016, 94, 745--788] by relaxing the assumptions on the forms of the minimisers for the Hamiltonians, allowing them to depend on more arguments. This allows the major and representative minor player to interact in a more natural fashion, thereby permitting us to consider more realistic models for our green and sustainable finance problem. Through our stochastic maximum principle, we derive explicit Nash equilibria for a number of examples. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_06967 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Switching to a Green and sustainable finance setting: a mean field game approach Aksamit, Anna Das, Kaustav Guo, Ivan Nam, Kihun Zhou, Zhou Probability 91A15, 91A23 We consider a continuum of carbon-emitting firms who seek to maximise their stock price, and a regulator (e.g., Government) who wishes for the economy to flourish, whilst simultaneously punishing firms who behave non-green. Interpreting the regulator as a major player and the firms as the minor players, we model this setting through a mean field game with major and minor players. We extend the stochastic maximum principle derived by Carmona & Zhu [A probabilistic approach to mean field games with major and minor players. Annals of Applied Probability, 2016, 94, 745--788] by relaxing the assumptions on the forms of the minimisers for the Hamiltonians, allowing them to depend on more arguments. This allows the major and representative minor player to interact in a more natural fashion, thereby permitting us to consider more realistic models for our green and sustainable finance problem. Through our stochastic maximum principle, we derive explicit Nash equilibria for a number of examples. |
| title | Switching to a Green and sustainable finance setting: a mean field game approach |
| topic | Probability 91A15, 91A23 |
| url | https://arxiv.org/abs/2503.06967 |