A MEAN FIELD GAME OF OPTIMAL STOPPING

被引：27
|
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
相关论文
共 50 条
  • [41] Synchronization in a Kuramoto mean field game
    Carmona, Rene
    Cormier, Quentin
    Soner, H. Mete
    COMMUNICATIONS IN PARTIAL DIFFERENTIAL EQUATIONS, 2023, 48 (09) : 1214 - 1244
  • [42] Mean field model of a game for power
    Karataieva, Tatiana
    Koshmanenko, Volodymyr
    Krawczyk, Malgorzata J.
    Kulakowski, Krzysztof
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 525 : 535 - 547
  • [43] A Mean Field Game Inverse Problem
    Ding, Lisang
    Li, Wuchen
    Osher, Stanley
    Yin, Wotao
    JOURNAL OF SCIENTIFIC COMPUTING, 2022, 92 (01)
  • [44] Mean-Field Game Theory Based Optimal Caching Control in Mobile Edge Computing
    Feng, Hao
    Guo, Songtao
    Liu, Defang
    Yang, Yuanyuan
    IEEE TRANSACTIONS ON MOBILE COMPUTING, 2023, 22 (11) : 6585 - 6598
  • [45] On Reverse Stackelberg Game and Optimal Mean Field Control for a Large Population of Thermostatically Controlled Loads
    Li, Sen
    Zhang, Wei
    Lian, Jianming
    Kalsi, Karanjit
    2016 AMERICAN CONTROL CONFERENCE (ACC), 2016, : 3545 - 3550
  • [46] On a mean field game optimal control approach modeling fast exit scenarios in human crowds
    Burger, Martin
    Di Francesco, Marco
    Markowich, Peter A.
    Wolfram, Marie-Therese
    2013 IEEE 52ND ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), 2013, : 3128 - 3133
  • [47] CONSTRUCTION OF COST AND OPTIMAL POLICIES IN A GAME PROBLEM OF STOPPING A MARKOV PROCESS
    ELBAKIDZE, NV
    THEORY OF PROBABILITY AND ITS APPLICATIONS, 1976, 21 (01) : 163 - 168
  • [48] Stability of a mean field game of production adjustment
    Wang, Yanying
    Xin, Baogui
    ASIAN JOURNAL OF CONTROL, 2024, 26 (02) : 717 - 727
  • [49] Obstacle mean-field game problem
    Gomes, Diogo A.
    Patrizi, Stefania
    INTERFACES AND FREE BOUNDARIES, 2015, 17 (01) : 55 - 68
  • [50] Strategic behaviour in the mean field Ising game
    Leonidov, A.
    Radionov, S.
    Vasilyeva, E.
    CHAOS SOLITONS & FRACTALS, 2024, 187
12345