MFGs for partially reversible investment

This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for the mean-field game (MFG) and presents sensitivity analysis to compare the solution for the MFG with that for the single-...

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Bibliographic Details
Main Authors Cao, Haoyang, Guo, Xin
Format Journal Article
LanguageEnglish
Published 28.08.2019
Subjects
Mathematics - Optimization and Control
Quantitative Finance - Mathematical Finance
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