Mean-field games of singular control with finite fuel
ABSTRACT
We study Nash equilibria for a sequence of symmetric -player stochastic games of finite-fuel capacity expansion with singular controls and their mean-field game (MFG) counterpart. We construct a solution of the MFG via a simple iterative scheme that produces an optimal control in terms of a Skorokhod reflection at a (state-dependent) surface that splits the state space into action and inaction regions. We then show that a solution of the MFG of capacity expansion induces approximate Nash equilibria for the -player games with approximation error ε going to zero as tends to infinity. Our analysis relies entirely on probabilistic methods and extends the well-known connection between singular stochastic control and optimal stopping to a mean-field framework. This talk is based on a joint work with T. De Angelis (Turin University), M. Ghio (SNS, Pisa) and G. Livieri (SNS, Pisa).
Zoom Link:
https://cityu.zoom.com.cn/j/99551602751?pwd=cFNpRzM4WlV6VjB2K0RtT2N2WkxEQT09
Meeting ID:995 5160 2751
Password: 208906