Tiziano de Angelis (The University of Leeds) - Mean-Field Games of Finite-Fuel Capacity Expansion with Singular Controls

Chargement Évènements

« Tous les Évènements

  • Cet évènement est passé

Tiziano de Angelis (The University of Leeds) - Mean-Field Games of Finite-Fuel Capacity Expansion with Singular Controls

16 octobre @ 14 h 00 min - 15 h 00 min

We study Nash equilibria for a sequence of symmetric N-player stochastic games of finite-fuel capacity expansion with singular controls and their mean-field game (MFG) counterpart. We construct a solution of the MFG via a simple iterative scheme that produces an optimal control in terms of a Skorokhod reflection at a (state-dependent) surface that splits the state space in action and inaction region. We then show that a solution of the MFG of capacity expansion induces approximate Nash equilibria for the N-player games with approximation error going to zero as N tends to infinity. Our analysis relies entirely on probabilistic methods and extends the well-known connection between singular stochastic control and optimal stopping to a mean-field framework.

 

(Joint work with L. Campi, M. Ghio and G. Livieri)

Détails

Date :
16 octobre
Heure :
14 h 00 min - 15 h 00 min