Mean Field Games with Singular Controls
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Publication:4596858
DOI10.1137/17M1123742zbMath1386.93306arXiv1612.05425MaRDI QIDQ4596858
Publication date: 11 December 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.05425
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (16)
Extended Mean Field Games with Singular Controls ⋮ MFGs for partially reversible investment ⋮ Nonzero-Sum Submodular Monotone-Follower Games: Existence and Approximation of Nash Equilibria ⋮ Approximation of \(N\)-player stochastic games with singular controls by mean field games ⋮ Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type ⋮ Itô's formula for flows of measures on semimartingales ⋮ Fokker-Planck equations of jumping particles and mean field games of impulse control ⋮ Stochastic Games for Fuel Follower Problem: $N$ versus Mean Field Game ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ On a Class of Infinite-Dimensional Singular Stochastic Control Problems ⋮ Control and optimal stopping mean field games: a linear programming approach ⋮ Mean-field games of finite-fuel capacity expansion with singular controls ⋮ On Singular Control Problems, the Time-Stretching Method, and the Weak-M1 Topology ⋮ A Mean Field Game of Optimal Portfolio Liquidation
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