Mathematical Finance Seminar
TUB, MA043
Mehdi Talbi (ETH)

Mean field games of optimal stopping

We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimize as well as through their dynamics. After briefly discussing the N-players game, we formulate the corresponding mean field problem. In particular, we introduce a weak formulation of the game for which we are able to prove existence of Nash equilibria for a large class of criteria. We also prove that equilibria for the mean field problem provide approximated Nash equilibria for the N-players game, and we formally derive the master equation associated with our mean field game.

This talk is based on joint work with D. Possamai.