Time-inconsistent mean-field optimal stopping: a limit approach

DOI10.1016/J.JMAA.2023.127582MaRDI QIDQ6115683zbMATH OpenOpenAlexFDO

Authors Boualem Djehiche, Mattia Martini

Publication date 10 August 2023

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2209.04174

zbMATH Keywords

mean-fieldoptimal stochastic controloptimal stoppingSnell envelope

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Mean field games (aspects of game theory) (91A16) Applications of game theory (91A80)

Abstract: We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Brownian filtration, including those related to mean-field diffusion processes and recursive utility functions. Despite the time-inconsistency of the OSP, we show that it is optimal to stop when the value-process hits the reward process for the first time, as is the case for the standard time-consistent OSP. We solve the problem by approximating the corresponding value-process with a sequence of Snell envelopes of processes, for which a sequence of optimal stopping times is constituted of the hitting times of each of the reward processes by the associated value-process. Then, under mild assumptions, we show that this sequence of hitting times converges in probability to the hitting time for the mean-field OSP and that the limit is optimal.

Review text

The primary objective of this paper is to characterize an optimal stopping time for a specific class of time-inconsistent optimal stopping problems (OSPs) with a mean-field structure and finite time horizons (cf. [\textit{C. Bertucci}, J. Math. Pures Appl. (9) 120, 165--194 (2018; Zbl 1406.35448); \textit{R. Carmona} and \textit{F. Delarue}, Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games. Cham: Springer (2018; Zbl 1422.91014)]). The study, which is based on Brownian filtration, addresses issues related to mean-field diffusion processes and recursive utility functions. Despite the time-inconsistency inherent in the OSP, the research establishes that the optimal strategy is to stop when the value process intersects the reward process for the first time, mirroring the behavior of standard time-consistent OSPs. Using a sequence of Snell envelopes of processes to approximate the corresponding value process, the article derives a series of optimal stopping times. Furthermore, under reasonable assumptions, the study shows that this sequence of hitting times converges in probability to the optimal hitting time for the mean-field OSP.

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Cited in

(4)

• Conditional optimal stopping: a time-inconsistent optimization
• Sharp equilibria for time-inconsistent mean-field stopping games
• From finite population optimal stopping to mean field optimal stopping
• On time-inconsistency in mean-field games

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