MFGs for partially reversible investment

DOI10.1016/J.SPA.2020.09.006zbMATH Open1492.91321arXiv1908.10916OpenAlexW3087913378MaRDI QIDQ2145812FDOQ2145812

Authors: Haoyang Cao, Xin Guo 

Publication date: 20 June 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for the mean-field game (MFG) and presents sensitivity analysis to compare the solution for the MFG with that for the single-agent control problem. It shows that in the MFG, model parameters not only affect the optimal strategies as in the single-agent case, but also influence the equilibrium price. It then establishes that the solution to the MFG is an $epsilon$-Nash Equilibrium to the corresponding $N$-player game, with $epsilon=Oleft(frac1sqrtNight)$.

Full work available at URL: https://arxiv.org/abs/1908.10916

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zbMATH Keywords

approximationmean-field gamessingular controlspartially reversible investment\(\epsilon\)-Nash equilibrium

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic games, stochastic differential games (91A15) Mean field games (aspects of game theory) (91A16)

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Cited In (1)

• Mean-field games of finite-fuel capacity expansion with singular controls

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