8 citations · 11 across the 3 of their papers we have counts for
3 papers
math.OC2022★ 3 cited
Approximation of N-player stochastic games with singular controls by mean field games
Haoyang Cao, Xin Guo, Joon Seok Lee
This paper establishes that a class of -player stochastic games with singular controls, either of bounded velocity or of finite variation, can both be approximated by mean field…
math.OC2019
MFGs for partially reversible investment
Haoyang Cao, Xin Guo
This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for t…
math.OC2017★ 8 cited
Approximation of Mean Field Games to N-Player Stochastic Games, with Singular Controls
Haoyang Cao, Xin Guo, Joon Seok Lee
This paper establishes that -player stochastic games with singular controls, either of bounded velocity or of finite variation, can both be approximated by mean field games (MFG…