dc.date.accessioned | 2017-09-13T10:27:12Z | |
dc.date.available | 2018-06-23T22:40:31Z | |
dc.date.created | 2017-09-13T11:36:34Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | Hu, Yaozhong Øksendal, Bernt Sulem, Agnès . Singular mean field control games. Stochastic Analysis and Applications. 2017 | |
dc.identifier.uri | http://hdl.handle.net/10852/58302 | |
dc.description.abstract | This article studies singular mean field control problems and singular mean field two-players stochastic differential games. Both sufficient and necessary conditions for the optimal controls and for the Nash equilibrium are obtained. Under some assumptions the optimality conditions for singular mean-field control are reduced to a reflected Skorohod problem, whose solution is proved to exist uniquely. Motivations are given as optimal harvesting of stochastic mean-field systems, optimal irreversible investments under uncertainty and mean-field singular investment games. In particular, a simple singular mean-field investment game is studied, where the Nash equilibrium exists but is not unique.
The final version of this research has been published in Stochastic Analysis and Applications. © 2017 Taylor & Francis | en_US |
dc.language | EN | |
dc.title | Singular mean field control games | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Hu, Yaozhong | |
dc.creator.author | Øksendal, Bernt | |
dc.creator.author | Sulem, Agnès | |
cristin.unitcode | 185,15,26,0 | |
cristin.unitname | Senter for matematikk for anvendelser | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1493265 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic Analysis and Applications&rft.volume=&rft.spage=&rft.date=2017 | |
dc.identifier.jtitle | Stochastic Analysis and Applications | |
dc.identifier.doi | http://dx.doi.org/10.1080/07362994.2017.1325745 | |
dc.identifier.urn | URN:NBN:no-61024 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 0736-2994 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/58302/2/%255BHOS%255D28April2017MeanfieldSingGames.pdf | |
dc.type.version | AcceptedVersion | |