A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption

DOI10.1137/21M1412451MaRDI QIDQ5045004zbMATH OpenOpenAlexFDO

Authors Paulwin Graewe, Ulrich Horst, Ronnie Sircar

Publication date 3 November 2022

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.06152

zbMATH Keywords

maximum principlestochastic controloptimal exploitationmean field game

Mathematics Subject Classification ID

Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Optimal stochastic control (93E20) Mean field games (aspects of game theory) (91A16)

Abstract: We study a class of deterministic mean field games on finite and infinite time horizons arising in models of optimal exploitation of exhaustible resources. The main characteristic of our game is an absorption constraint on the players' state process. As a result of the state constraint the optimal time of absorption becomes part of the equilibrium. This requires a novel approach when applying Pontyagin's maximum principle. We prove the existence and uniqueness of equilibria and solve the infinite horizon models in closed form. As players may drop out of the game over time, equilibrium production rates need not be monotone nor smooth.

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Cited in

(4)

• Master equation for Cournot mean field games of control with absorption
• Parameter sensitivity analysis for mean field games of production
• Mean-field liquidation games with market drop-out
• Numerical analysis of an extended mean field game for harvesting common fishery resource

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