Event Date:
Monday, May 11, 2020 - 11:00am to 12:00pm
Event Location:
- Zoom webinar
Zoom webinar by Prof. Luciano Campi, Dept of Statistics, London School of Economics, UK
Title: Mean-Field Games Of Finite-Fuel Capacity Expansion With Singular Controls
Abstract: 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 (time- and fuel-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. This talk is based on a joint paper with T. De Angelis (Leeds), Maddalena Ghio and Giulia Livieri (SNS, Pisa).
May 4, 2020 - 12:14am