Mean-field games of singular control with finite fuel

Professor Luciano Campi
Date & Time
22 Sep 2021 (Wed) | 04:00 PM - 05:00 PM
Venue
Online via ZOOM

ABSTRACT

We study Nash equilibria for a sequence of symmetric NN-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 NN-player games with approximation error ε\varepsilon going to zero as NN 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