Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866908466906398720 |
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| author | Ferrari, Giorgio Pajola, Anna |
| author_facet | Ferrari, Giorgio Pajola, Anna |
| contents | 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. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2507_19123 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise Ferrari, Giorgio Pajola, Anna Optimization and Control Probability Mathematical Finance 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. |
| title | Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise |
| topic | Optimization and Control Probability Mathematical Finance |
| url | https://arxiv.org/abs/2507.19123 |