Extended Mean Field Games with Singular Controls

DOI10.1137/20M1384750OpenAlexW4321491713MaRDI QIDQ5883153

Guanxing Fu

Publication date: 29 March 2023

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

Full work available at URL: https://arxiv.org/abs/1909.04154

zbMATH Keywords

singular controlrelaxed controlmean field gameSkorokhod \(M_1\) topology

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16)

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