A MEAN FIELD GAME OF OPTIMAL STOPPING

被引：28

作者：

Nutz, Marcel ^{[1
,2
]}

机构：

[1] Columbia Univ, Dept Stat, New York, NY 10027 USA

[2] Columbia Univ, Dept Math, New York, NY 10027 USA

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2018年 / 56卷 / 02期

基金：

美国国家科学基金会;

关键词：

mean field game; optimal stopping; bank run; LARGE NUMBERS; EXACT LAW; AGGREGATE UNCERTAINTY; BANK RUNS; RISK; EQUILIBRIA; EXTENSION; COST;

D O I：

10.1137/16M1078331

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become functions of the common noise that all agents are exposed to, whereas idiosyncratic randomness can be eliminated by an exact law of large numbers. Under a structural monotonicity assumption, we can identify equilibria with solutions of a simple equation involving the distribution function of the idiosyncratic noise. Solvable examples allow us to gain insight into the uniqueness of equilibria and the dynamics in the population.

引用

页码：1206 / 1221

页数：16

共 50 条

[21] Optimal bubble riding: a mean field game with varying entry times
Tangpi, Ludovic
Wang, Shichun
FINANCE AND STOCHASTICS, 2025, 29 (02) : 343 - 398
[22] A mean field game model for optimal trading in the intraday electricity market
Coskun, Sema
Korn, Ralf
DECISIONS IN ECONOMICS AND FINANCE, 2024,
[23] Optimal Stopping Strategies in the Game "The Price Is Right"
Seregina, T. V.
Ivashko, A. A.
Mazalov, V. V.
PROCEEDINGS OF THE STEKLOV INSTITUTE OF MATHEMATICS, 2019, 307 (SUPPL 1) : 127 - 141
[24] OPTIMAL INCENTIVES TO MITIGATE EPIDEMICS: A STACKELBERG MEAN FIELD GAME APPROACH
Aurell, Alexander
Carmona, Rene
Dayanikli, Gokce
Lauriere, Mathieu
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2022, 60 (02) : S294 - S322
[25] EXPLICIT OPTIMAL VALUE FOR DYNKINS STOPPING GAME
YASUDA, M
MATHEMATICAL AND COMPUTER MODELLING, 1995, 22 (10-12) : 313 - 324
[26] Optimal stopping strategies in the game "The Price Is Right"
Seregina, T. V.
Ivashko, A. A.
Mazalov, V. V.
TRUDY INSTITUTA MATEMATIKI I MEKHANIKI URO RAN, 2019, 25 (03): : 217 - 231
[27] A STOCHASTIC GAME OF OPTIMAL STOPPING AND ORDER SELECTION
Gnedin, Alexander V.
Krengel, Ulrich
ANNALS OF APPLIED PROBABILITY, 1995, 5 (01): : 310 - 321
[28] Optimal Stopping Strategies in the Game “The Price Is Right”
T. V. Seregina
A. A. Ivashko
V. V. Mazalov
Proceedings of the Steklov Institute of Mathematics, 2019, 307 : 127 - 141
[29] Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption
Dumitrescu, Roxana
Leutscher, Marcos
Tankov, Peter
ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS, 2023, 57 (02) : 953 - 990
[30] Optimal Computation Offloading with a Shared MEC Center: a Mean Field Game Approach
Zheng, Renjun
Wang, Haibo
De Mari, Matthieu
2019 IEEE GLOBECOM WORKSHOPS (GC WKSHPS), 2019,

← 1 2 3 4 5 →