A mean field optimal stopping problem with common noise
Speaker:
Xihao He, University of Michigan
Date and Time:
Friday, September 27, 2024 - 11:30am to 12:00pm
Location:
Fields Institute, Room 230
Abstract:
This paper focuses on a mean-field optimal stopping problem with common noise, inspired by Talbi, Touzi, and Zhang 2023. The goal is to establish the dynamic programming equation along with its comparison principle and convergence rate of the value function of the large population optimal stopping problem towards those of the mean field limit. The proof of comparison principle relies on the Ishii's Lemma proved in Bayraktar, Ekren, and Zhang 2023.