Title	A Mean Field Game of Optimal Stopping
Creator	Nutz, Marcel
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2016-05-23T09:15
Description	We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become functions of the common noise that all agents are exposed to, whereas idiosyncratic randomness can be eliminated by an Exact Law of Large Numbers. Under a structural monotonicity assumption, we can identify equilibria with solutions of a simple equation involving the distribution function of the idiosyncratic noise. Solvable examples allow us to gain insight into the uniqueness of equilibria and the dynamics in the population.
Extent	37 minutes
Subject	Mathematics; Game theory, economics, social and behavioral sciences; Probability theory and stochastic processes
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: Columbia University
Series	BIRS Workshop Lecture Videos (Oaxaca de Juárez (Mexico))
Date Available	2017-01-26
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0339874
URI	http://hdl.handle.net/2429/59769
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

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A Mean Field Game of Optimal Stopping Nutz, Marcel

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