Control and optimal stopping mean field games: a linear programming approach
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Publication:2076633
DOI10.1214/21-EJP713zbMath1483.91032arXiv2011.11533MaRDI QIDQ2076633
Roxana Dumitrescu, Marcos Leutscher, Peter Tankov
Publication date: 22 February 2022
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.11533
optimal stoppingcontinuous controlinfinite-dimensional linear programmingmean-field gamesrelaxed solutionscontrolled/stopped martingale problem
Linear programming (90C05) Stopping times; optimal stopping problems; gambling theory (60G40) Games of timing (91A55) Mean field games (aspects of game theory) (91A16)
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