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Mean-field games of optimal stopping: master equation and weak equilibria
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We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimise as well as through their dynamics. After briefly discussing the N-player game, we formulate the corresponding mean-field problem. In particular, we introduce a weak formulation of the game for which we are able to prove existence of Nash equilibria for a large class of criteria. We also prove that equilibria for the mean-field problem provide approximated Nash equilibria for the N-player game, and we formally derive the master equation associated with our mean-field game.
Forward citations
Cited by 2 Pith papers
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Viscosity Solutions of Fully second-order HJB Equations in the Wasserstein Space
The value function of mean field control with common noise is the unique viscosity solution of a fully second-order HJB equation in the Wasserstein space.
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Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise
Strong randomized mean-field equilibria exist for optimal-stopping games with countably generated common noise under continuity assumptions, and monotone comparative statics hold for strict equilibria.
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