Introduces continuous-time finite-horizon mean field games with an option to buy information on a hidden state, connects the model to optimal control with discretionary stopping, gives an explicitly solvable example, and constructs approximate Nash equilibria for compatible N-player games.
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Mean field games with option to buy information
Introduces continuous-time finite-horizon mean field games with an option to buy information on a hidden state, connects the model to optimal control with discretionary stopping, gives an explicitly solvable example, and constructs approximate Nash equilibria for compatible N-player games.