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