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A Mean Field Game of Optimal Stopping. (arXiv:1605.09112v2 [math.OC] UPDATED)
来源于:arXiv
We formulate a stochastic game of mean field type where the agents solve
optimal stopping problems and interact through the proportion of players that
have already stopped. Working with a continuum of agents, typical equilibria
become functions of the common noise that all agents are exposed to, whereas
idiosyncratic randomness can be eliminated by an Exact Law of Large Numbers.
Under a structural monotonicity assumption, we can identify equilibria with
solutions of a simple equation involving the distribution function of the
idiosyncratic noise. Solvable examples allow us to gain insight into the
uniqueness of equilibria and the dynamics in the population. 查看全文>>