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

نویسندگان

چکیده

We study Nash equilibria for a sequence of symmetric N-player stochastic games finite-fuel capacity expansion with singular controls and their mean-field game (MFG) counterpart. construct solution the MFG via simple iterative scheme that produces an optimal control in terms Skorokhod reflection at (state-dependent) surface splits state space into action inaction regions. then show induces approximate approximation error ε going to zero as N tends infinity. Our analysis relies entirely on probabilistic methods extends well-known connection between stopping framework.

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ژورنال

عنوان ژورنال: Annals of Applied Probability

سال: 2022

ISSN: ['1050-5164', '2168-8737']

DOI: https://doi.org/10.1214/21-aap1771