Mean-field games of finite-fuel capacity expansion with singular controls
DOI10.1214/21-AAP1771zbMath1501.35402arXiv2006.02074OpenAlexW3033677081MaRDI QIDQ2090604
Maddalena Ghio, Tiziano De Angelis, Giulia Livieri, Luciano Campi
Publication date: 31 October 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.02074
optimal stoppingNash equilibriafree boundary problemssingular controlscapacity expansionmean-field gamesSkorokhod reflection problemgoodwill problemLipschitz free boundary
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Free boundary problems for PDEs (35R35) Mean field games (aspects of game theory) (91A16) PDEs in connection with mean field game theory (35Q89)
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