The Cooperative Mean Field Game for Production Control with Sticky Price
Lijun Bo , Tongqing Li
Communications in Mathematics and Statistics ›› : 1 -18.
The Cooperative Mean Field Game for Production Control with Sticky Price
We study a cooperative mean field game problem arising from the production control for multiple firms with price stickiness in the commodity market. The price dynamics for each firm is described as a controlled jump-diffusion process with mean-field interaction. Each firm aims to maximize the so-called social rewards which is defined by the average of individual rewards for all firms. By solving the limiting control problem for the representative firm and an associated fixed-point problem, we construct an explicit approximating optimal strategy when the number of firms grows large.
Production control / Sticky price / Social rewards / Cooperative mean field game
| [1] |
Bo, L., Wang, S., Yu, X.: Mean field game of optimal relative investment with contagious risk. Preprint (2021) arXiv:2108.00799 |
| [2] |
|
| [3] |
|
| [4] |
|
| [5] |
|
| [6] |
|
| [7] |
|
| [8] |
|
| [9] |
|
| [10] |
|
| [11] |
|
| [12] |
|
| [13] |
|
| [14] |
|
| [15] |
|
| [16] |
|
| [17] |
|
/
| 〈 |
|
〉 |