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Optimal stopping problem in mean field games

Abstract : This thesis is concerned with new models of mean field games. First, we study models of optimal stopping and impulse control in the case when there is no common noise. We build an appropriate notion of solutions for those models. We prove the existence and the uniqueness of such solutions under natural assumptions. Then, we are interested with several properties of mean field games. We study the limit of such models when the anticipation of the players vanishes. We show that uniqueness holds for strongly coupled mean field games (coupled via strategies) under certain assumptions. We then prove some regularity results for the master equation in a discrete state space case with common noise. We continue by giving a generalization of Uzawa’s algorithm and we apply it to solve numerically some mean field games, especially optimal stopping and impulse control problems. The last chapter presents an application of mean field games. This application originates from problems in telecommunications which involve a huge number of connected devices.
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Submitted on : Thursday, February 21, 2019 - 1:05:07 PM
Last modification on : Wednesday, September 23, 2020 - 4:30:59 AM
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  • HAL Id : tel-02044208, version 1



Charles Bertucci. Optimal stopping problem in mean field games. General Mathematics [math.GM]. Université Paris sciences et lettres, 2018. English. ⟨NNT : 2018PSLED039⟩. ⟨tel-02044208⟩



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