论文标题
基准利率的银行间贷款：一类奇异控制游戏的帕累托优点
Interbank lending with benchmark rates: Pareto optima for a class of singular control games
论文作者
论文摘要
我们分析了一类奇异控制的随机差异游戏，这是在研究基准率的银行间贷款模型的动态模型中。我们描述了该游戏的帕累托优越，并通过监管机构的干预来展示如何实现它们，该监管机构的政策是解决奇异随机控制问题的解决方案。 Pareto Optima的特征是针对新的Skorokhod问题的解决方案，具有分段连续的自由边界。 帕累托最佳策略显示与银行间贷款率上的内源性边界相对应。 Pareto Optima和NASH平衡之间的分析比较提供了对调节干预对银行间利率稳定性的影响的见解。
We analyze a class of stochastic differential games of singular control, motivated by the study of a dynamic model of interbank lending with benchmark rates. We describe Pareto optima for this game and show how they may be achieved through the intervention of a regulator, whose policy is a solution to a singular stochastic control problem. Pareto optima are characterized in terms of the solutions to a new class of Skorokhod problems with piecewise-continuous free boundary. Pareto optimal policies are shown to correspond to the enforcement of endogenous bounds on interbank lending rates. Analytical comparison between Pareto optima and Nash equilibria provides insight into the impact of regulatory intervention on the stability of interbank rates.
