Cont, Rama - Interbank lending with benchmark rates_ Pareto optima for a cl ...

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Received: 2 November 2020   Accepted: 31 May 2021
DOI: 10.1111/mafi.12325

ORIGINAL ARTICLE


Interbank lending with benchmark rates:
Pareto optima for a class of singular control
games
Rama Cont1,*          Xin Guo2         Renyuan Xu1
1Mathematical Institute, University of
Oxford, Oxford, UK                   Abstract
2Department of Industrial Engineering         We analyze a class of stochastic differential games of
and Operations Research, University of         singular control, motivated by ...

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关键词：benchmark lending ending Optima pareto