Monotone solutions for mean field games master equations : finite state space and optimal stopping - Archive ouverte HAL
Article Dans Une Revue Journal de l'École polytechnique — Mathématiques Année : 2021

Monotone solutions for mean field games master equations : finite state space and optimal stopping

Résumé

We present a new notion of solution for mean field games master equations. This notion allows us to work with solutions which are merely continuous. We prove first results of uniqueness and stability for such solutions. It turns out that this notion is helpful to characterize the value function of mean field games of optimal stopping or impulse control and this is the topic of the second half of this paper. The notion of solution we introduce is only useful in the monotone case. We focus in this paper in the finite state space case.
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Dates et versions

hal-02904533 , version 1 (22-07-2020)
hal-02904533 , version 2 (05-11-2021)

Identifiants

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Charles Bertucci. Monotone solutions for mean field games master equations : finite state space and optimal stopping. Journal de l'École polytechnique — Mathématiques, 2021, 8, pp.1099-1132. ⟨10.5802/jep.167⟩. ⟨hal-02904533v2⟩
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