Optimal stopping in mean field games, an obstacle problem approach

By Charles Bertucci. Journal des Mathématiques Pures et Appliquées, 2017

64 citations recorded by the source corpus.

This paper is interested in the problem of optimal stopping in a mean field game context. The notion of mixed solution is introduced to solve the system of partial differential equations which models this kind of problem. This notion emphasizes the fact that Nash equilibria of the game are in mixed strategies. Existence and uniqueness of such solutions are proved under general assumptions for both stationary and evolutive problems.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e4f4a7248ae1b969138bb96ec4a53eb2b96f9d0f

Citations in the corpus

• Some remarks on mean field games (2018, unknown): “[3, 26, 16] or impulse control [4] for instance.”