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math.OC2021★ 8 cited
Stationary Discounted and Ergodic Mean Field Games of Singular Control
Haoyang Cao, Jodi Dianetti, Giorgio Ferrari
We study stationary mean field games with singular controls in which the representative player interacts with a long-time weighted average of the population through a discounted an…
math.OC2021
Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
Jodi Dianetti, Giorgio Ferrari
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimizatio…