Control and optimal stopping mean field games: a linear programming approach
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Abstract: We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider mean-field game problems where the representative agent chooses both the optimal control and the optimal time to exit the game, where the instantaneous reward function and the coefficients of the state process may depend on the distribution of the other agents. Furthermore, we establish the equivalence between mean-field games equilibria obtained by the linear programming approach and the ones obtained via the controlled/stopped martingale approach, another relaxation method used in a few previous papers in the case when there is only control.
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Cited in
(10)- Time-inconsistent mean-field optimal stopping: a limit approach
- Optimal stopping of conditional McKean-Vlasov jump diffusions
- Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption
- Mean-field games of optimal stopping: a relaxed solution approach
- A mean-field game model of electricity market dynamics
- MF-OMO: An Optimization Formulation of Mean-Field Games
- Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
- Mean-field liquidation games with market drop-out
- Optimal stopping in mean field games, an obstacle problem approach
- The controller-and-stopper game for a linear diffusion.
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