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

Author

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  • Ferrari, Giorgio

    (Center for Mathematical Economics, Bielefeld University)

  • Pajola, Anna

    (Center for Mathematical Economics, Bielefeld University)

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.

Suggested Citation

  • Ferrari, Giorgio & Pajola, Anna, 2025. "Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise," Center for Mathematical Economics Working Papers 751, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:751
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    File URL: https://pub.uni-bielefeld.de/download/3005696/3005697
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    References listed on IDEAS

    as
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