Ergodic Problems for Second-Order Mean Field Games with State Constraints
| Autor: | Porretta, Alessio, Ricciardi, Michele |
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| Rok vydání: | 2023 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | We study an ergodic mean field game problem with state constraints. In our model the agents are affected by idiosyncratic noise and use a (singular) feedback control to prevent the Brownian motion from exiting the domain. We characterize the equilibrium as the (possibly unique) solution to a second-order MFG system, where the value function blows up at the boundary while the density of the players is smooth and flattens near the boundary as a consequence of the singularity of the drift induced by the feedback strategy of the agents. Comment: 25 pages |
| Databáze: | arXiv |
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