Ομιλητής : κ. Ιωάννης Τζουάνας (Bielefeld University) / https://ekvv.uni-bielefeld.de/pers_publ/publ/PersonDetail.jsp?personId=309525527&lang=EN
Μέρος, ώρα : Τρίτη 09/01/2024, στις 13:00 στην αίθουσα Σεμιναρίων του Τομέα Μαθηματικών ΣΕΜΦΕ, κτ. Ε ‘, 2ος όροφος.
Τίτλος : “Ergodic Mean-Field Games of Singular Control with Regime-Switching”
Περίληψη : “This paper studies a class of stationary mean-field games of singular stochastic control with regime-switching. The representative agent adjusts the dynamics of a Markov-modulated Itô-diffusion via a two-sided singular stochastic control and faces a long-time-average expected profit criterion. The mean-field interaction is of scalar type and it is given through the stationary distribution of the population. Via a constructive approach, we prove the existence and uniqueness of the stationary mean-field equilibrium. Furthermore, we show that this realizes a symmetric εN-Nash equilibrium for a suitable ergodic N-player game with singular controls. The proof hinges on the characterization of the optimal solution to the representative player’s ergodic singular stochastic control problem with regime switching, which is of independent interest and appears here for the first time. This talk is based on the joint work with Jodi Dianetti and Giorgio Ferrari.