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