A Mean Field Game of Optimal Stopping by Marcel Nutz

Event Date: 

Tuesday, November 22, 2016 -
5:00pm to 6:00pm

Event Date Details: 

Refreshments served at 4:45 p.m

Event Location: 

  • South Hall 5607F

Marcel Nutz — Columbia University 

Title: A Mean Field Game of Optimal Stopping

Abstract: 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 (arXiv:1605.09112).