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Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise

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  • Giorgio Ferrari
  • Anna Pajola

Abstract

We study a mean-field game of optimal stopping and investigate the existence of strong solutions via a connection with the Bank-El Karoui's representation problem. Under certain continuity assumptions, where the common noise is generated by a countable partition, we show that a strong randomized mean-field equilibrium exists, in which the mean-field interaction term is adapted to the common noise and the stopping time is randomized. Furthermore, under suitable monotonicity assumptions and for a general common noise, we provide a comparative statics analysis of the set of strong mean-field equilibria with strict equilibrium stopping times.

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  • Giorgio Ferrari & Anna Pajola, 2025. "Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise," Papers 2507.19123, arXiv.org.
    • Handle: RePEc:arx:papers:2507.19123
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    4. Jodi Dianetti & Giorgio Ferrari & Markus Fischer & Max Nendel, 2023. "A Unifying Framework for Submodular Mean Field Games," Mathematics of Operations Research, INFORMS, vol. 48(3), pages 1679-1710, August.
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