 Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version)Jodi Dianetti,
Giorgio Ferrari and
Ioannis Tzouanas
No 681, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University Abstract: 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 $\varepsilon_N$-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. Keywords: stationary mean-field games; singular control; regime-switching; ergodic criterion; ε-Nash equilibrium (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:681 Access Statistics for this paper More papers in Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University Contact information at EDIRC. |
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