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Competition versus Cooperation: A class of solvable mean field impulse control problems

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  • Soren Christensen
  • Berenice Anne Neumann
  • Tobias Sohr

Abstract

We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impulse control problems with underlying general one-dimensional diffusion processes motivated by optimal harvesting problems in natural resource management. We extend the classical stochastic Faustmann models by allowing the prices to depend on the state of the market using a mean field structure. In a competitive market model, we prove that, under natural conditions, there exists an equilibrium strategy of threshold-type and furthermore characterize the threshold explicitly. If the agents cooperate with each other, we are faced with the mean field type control problem. Using a Lagrange-type argument, we prove that the optimizer of this non-standard impulse control problem is of threshold-type as well and characterize the optimal threshold. Furthermore, we compare the solutions and illustrate the findings in an example.

Suggested Citation

  • Soren Christensen & Berenice Anne Neumann & Tobias Sohr, 2020. "Competition versus Cooperation: A class of solvable mean field impulse control problems," Papers 2010.06452, arXiv.org, revised Apr 2021.
  • Handle: RePEc:arx:papers:2010.06452
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    Cited by:

    1. Dianetti, Jodi & Ferrari, Giorgio & Tzouanas, Ioannis, 2023. "Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version)," Center for Mathematical Economics Working Papers 681, Center for Mathematical Economics, Bielefeld University.

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