2 papers
math.OC2025
Mean-Field Games with two-sided singular controls for Lévy processes
Facundo Oliú
In a probabilistic mean field game driven by a Lévy process an individual player aims to minimize a long run discounted/ergodic cost by controlling the process through a pair of in…
math.PR2024
Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games
Ernesto Mordecki, Facundo Oliú
A relationship between two sided discounted singular control problems and Dynkin games is established for real valued Lévy processes. In addition, the solution of a two-sided ergod…