Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2024
|
| Materias: | |
| Acceso en línea: | https://arxiv.org/abs/2403.18297 |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866913286173229056 |
|---|---|
| author | Campbell, Steven Zhang, Yuchong |
| author_facet | Campbell, Steven Zhang, Yuchong |
| contents | We introduce a mean field game for a family of filtering problems related to the classic sequential testing of the drift of a Brownian motion. To the best of our knowledge this work presents the first treatment of mean field filtering games with stopping and an unobserved common noise in the literature. We show that the game is well-posed, characterize the solution, and establish the existence of an equilibrium under certain assumptions. We also perform numerical studies for several examples of interest. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_18297 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Mean Field Game of Sequential Testing Campbell, Steven Zhang, Yuchong Optimization and Control Probability 91A16, 91A55, 60G35, 60G40 We introduce a mean field game for a family of filtering problems related to the classic sequential testing of the drift of a Brownian motion. To the best of our knowledge this work presents the first treatment of mean field filtering games with stopping and an unobserved common noise in the literature. We show that the game is well-posed, characterize the solution, and establish the existence of an equilibrium under certain assumptions. We also perform numerical studies for several examples of interest. |
| title | A Mean Field Game of Sequential Testing |
| topic | Optimization and Control Probability 91A16, 91A55, 60G35, 60G40 |
| url | https://arxiv.org/abs/2403.18297 |