Mean-field games of optimal stopping : a relaxed solution approach

• Main Authors: Bouveret, Géraldine, Dumitrescu, Roxana, Tankov, Peter
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2020
• Subjects: Science; Mean-field Games; Optimal Stopping
• Online Access: https://hdl.handle.net/10356/144261
• Institution: Nanyang Technological University

We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game. We place ourselves in the framework of relaxed optimal stoppi...