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math.OC2021
Mean Field Contest with Singularity
Marcel Nutz, Yuchong Zhang
We formulate a mean field game where each player stops a privately observed Brownian motion with absorption. Players are ranked according to their level of stopping and rewarded as…
math.OC2021
Reward Design in Risk-Taking Contests
Marcel Nutz, Yuchong Zhang
Following the risk-taking model of Seel and Strack, players decide when to stop privately observed Brownian motions with drift and absorption at zero. They are then ranked acco…