Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise

Giorgio Ferrari and Anna Pajola
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Giorgio Ferrari: Center for Mathematical Economics, Bielefeld University
Anna Pajola: Center for Mathematical Economics, Bielefeld University

No 751, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: We study a mean-field game of optimal stopping and investigate the existence of strong solutions via a connection with the Bank-El Karoui’s representation problem. Under certain continuity assumptions, where the common noise is generated by a countable partition, we show that a strong randomized mean-field equilibrium exists, in which the mean-field interaction term is adapted to the common noise and the stopping time is randomized. Furthermore, under suitable monotonicity assumptions and for a general common noise, we provide a comparative statics analysis of the set of strong mean-field equilibria with strict equilibrium stopping times.

Keywords: mean-field game of optimal stopping; randomized stopping time; common noise; Bank-El Karoui’s representation theorem (search for similar items in EconPapers)
Pages: 21
Date: 2025-07-25
New Economics Papers: this item is included in nep-gth and nep-mic
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