Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version)
Dianetti J, Ferrari G, Tzouanas I (2023) Center for Mathematical Economics Working Papers; 681.
Bielefeld: Center for Mathematical Economics.
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| Veröffentlicht | Englisch
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Abstract / Bemerkung
This paper studies a class of stationary mean-field games of singular
stochastic control with regime-switching. The representative agent adjusts the
dynamics of a Markov-modulated Itô-diffusion via a two-sided singular
stochastic control and faces a long-time-average expected profit criterion. The
mean-field interaction is of scalar type and it is given through the stationary
distribution of the population. Via a constructive approach, we prove the
existence and uniqueness of the stationary mean-field equilibrium. Furthermore,
we show that this realizes a symmetric $\varepsilon_N$-Nash equilibrium for a
suitable ergodic $N$-player game with singular controls. The proof hinges on
the characterization of the optimal solution to the representative player's
ergodic singular stochastic control problem with regime switching, which is of
independent interest and appears here for the first time.
MSC subject classification: 49L20, 91A15, 91A16, 60G40, 35R35, 93C30
MSC subject classification: 49L20, 91A15, 91A16, 60G40, 35R35, 93C30
Stichworte
stationary mean-field games;
singular control;
regime-switching;
ergodic criterion;
ε-Nash equilibrium
Erscheinungsjahr
2023
Serientitel
Center for Mathematical Economics Working Papers
Band
681
Seite(n)
35
Urheberrecht / Lizenzen
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2981284
Zitieren
Dianetti J, Ferrari G, Tzouanas I. Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). Center for Mathematical Economics Working Papers. Vol 681. Bielefeld: Center for Mathematical Economics; 2023.
Dianetti, J., Ferrari, G., & Tzouanas, I. (2023). Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version) (Center for Mathematical Economics Working Papers, 681). Bielefeld: Center for Mathematical Economics.
Dianetti, Jodi, Ferrari, Giorgio, and Tzouanas, Ioannis. 2023. Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). Vol. 681. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
Dianetti, J., Ferrari, G., and Tzouanas, I. (2023). Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). Center for Mathematical Economics Working Papers, 681, Bielefeld: Center for Mathematical Economics.
Dianetti, J., Ferrari, G., & Tzouanas, I., 2023. Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version), Center for Mathematical Economics Working Papers, no.681, Bielefeld: Center for Mathematical Economics.
J. Dianetti, G. Ferrari, and I. Tzouanas, Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version), Center for Mathematical Economics Working Papers, vol. 681, Bielefeld: Center for Mathematical Economics, 2023.
Dianetti, J., Ferrari, G., Tzouanas, I.: Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). Center for Mathematical Economics Working Papers, 681. Center for Mathematical Economics, Bielefeld (2023).
Dianetti, Jodi, Ferrari, Giorgio, and Tzouanas, Ioannis. Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). Bielefeld: Center for Mathematical Economics, 2023. Center for Mathematical Economics Working Papers. 681.
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Open Access
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