Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption
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Publication:6041058
DOI10.1051/m2an/2023019zbMath1515.91027arXiv2202.11428MaRDI QIDQ6041058
Roxana Dumitrescu, Peter Tankov, Marcos Leutscher
Publication date: 25 May 2023
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.11428
optimal stoppingabsorptioncontinuous controlfictitious playinfinite-dimensional linear programmingmean-field games
Linear programming (90C05) Stopping times; optimal stopping problems; gambling theory (60G40) Games of timing (91A55) Mean field games (aspects of game theory) (91A16)
Related Items
Time-inconsistent mean-field optimal stopping: a limit approach, MF-OMO: An Optimization Formulation of Mean-Field Games
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