Singular mean-field control games

DOI10.1080/07362994.2017.1325745zbMath1376.91029OpenAlexW2643632656MaRDI QIDQ4588297

Agnès Sulem, Yaozhong Hu, Bernt Øksendal

Publication date: 2 November 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/hal-01614747/file/%5BHOS%5D28April2017MeanfieldSingGames.pdf

zbMATH Keywords

Brownian motionNash equilibriumPoisson random measuresmean-field stochastic differential equationsSkorohod reflection problemstochastic maximum principlesoptimal singular controlsingular mean-field control games

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Production theory, theory of the firm (91B38) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Economic dynamics (91B55)

Related Items (8)

Extended Mean Field Games with Singular Controls ⋮ Maximum principle for delayed stochastic mean-field control problem with state constraint ⋮ Optimal control of forward-backward mean-field stochastic delayed systems ⋮ Itô's formula for flows of measures on semimartingales ⋮ A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers ⋮ Stochastic control of memory mean-field processes ⋮ A maximum principle for mean-field stochastic control system with noisy observation ⋮ Stochastic optimal control of McKean-Vlasov equations with anticipating law

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