Optimal stopping in mean field games, an obstacle problem approach

DOI10.1016/j.matpur.2017.09.016zbMath1406.35448arXiv1704.06553OpenAlexW2962753832MaRDI QIDQ1622538

Charles Bertucci

Publication date: 19 November 2018

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.06553

zbMATH Keywords

PDEoptimal controloptimal stoppingmean field games

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) PDEs in connection with control and optimization (35Q93)

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Cites Work

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• Learning in mean field games: The fictitious play
• Mean Field Games and Applications
• Weak Solutions for First Order Mean Field Games with Local Coupling
• A Mean Field Game of Optimal Stopping
• Mean Field Games: Numerical Methods
• On the regularity of the solution of a variational inequality
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

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