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
收藏
页码：1206 / 1221
页数：16
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