MFGs for partially reversible investment

Haoyang Cao and Xin Guo

Papers from arXiv.org

Abstract: This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for the mean-field game (MFG) and presents sensitivity analysis to compare the solution for the MFG with that for the single-agent control problem. It shows that in the MFG, model parameters not only affect the optimal strategies as in the single-agent case, but also influence the equilibrium price. It then establishes that the solution to the MFG is an $\epsilon$-Nash Equilibrium to the corresponding $N$-player game, with $\epsilon=O\left(\frac{1}{\sqrt N}\right)$.

Date: 2019-08, Revised 2020-08
New Economics Papers: this item is included in nep-gth
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Citations: View citations in EconPapers (4)

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