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- W4287591067 abstract "We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider mean-field game problems where the representative agent chooses both the optimal control and the optimal time to exit the game, where the instantaneous reward function and the coefficients of the state process may depend on the distribution of the other agents. Furthermore, we establish the equivalence between mean-field games equilibria obtained by the linear programming approach and the ones obtained via the controlled/stopped martingale approach, another relaxation method used in a few previous papers in the case when there is only control." @default.
- W4287591067 created "2022-07-25" @default.
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- W4287591067 date "2020-11-23" @default.
- W4287591067 modified "2023-10-18" @default.
- W4287591067 title "Control and optimal stopping Mean Field Games: a linear programming approach" @default.
- W4287591067 doi "https://doi.org/10.48550/arxiv.2011.11533" @default.
- W4287591067 hasPublicationYear "2020" @default.
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