A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption
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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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Cites work
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Cited in
(7)- Master equation for Cournot mean field games of control with absorption
- Parameter sensitivity analysis for mean field games of production
- Numerical analysis of an extended mean field game for harvesting common fishery resource
- Mean-field liquidation games with market drop-out
- Extended mean-field games with multidimensional singular controls and nonlinear jump impact
- Mean field optimization problems: stability results and Lagrangian discretization
- Fare game: a mean field model of stochastic intensity control in dynamic ticket pricing
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