Two sided ergodic singular control and mean field game for diffusions

In a probabilistic mean-field game driven by a linear diffusion an individual player aims to minimize an ergodic long-run cost by controlling the diffusion through a pair of -- increasing and decreasing -- càdlàg processes, while he is interacting with an aggregate of players through the expectation...

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Veröffentlicht in:	arXiv.org 2024-06
Hauptverfasser:	Christensen, Sören, Mordecki, Ernesto, Eguren, Facundo Oliú
Format:	Artikel
Sprache:	eng
Schlagworte:	Cost function Criteria Equilibrium Ergodic processes Game theory Nonlinear equations Uniqueness
Online-Zugang:	Volltext
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