Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/318549 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 706
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an Itô-diffusion via onesided singular stochastic control, aiming to maximize a long-term average expected profit criterion. The mean-field interaction is of scalar type through the stationary distribution of the population. Due to the presence of uncertainty, the problem involves the study of a stochastic (zero-sum) game, where the decision maker chooses the 'best' singular control policy, while the adversarial player selects the 'worst' probability measure. Using a constructive approach, we prove existence and uniqueness of a stationary mean-field equilibrium. Finally, we present an example of mean-field optimal extraction of natural resources under uncertainty and we analyze the impact of uncertainty on the mean-field equilibrium.
Schlagwörter: 
stationary mean-field games
singular control
model uncertainty
ergodic criterion
free-boundary problem
shooting method
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
690.09 kB





Publikationen in EconStor sind urheberrechtlich geschützt.