Existence and uniqueness results for a mean-field game of optimal investment (opens in new tab)

arXiv:2404.02871v4 Announce Type: replace-cross Abstract: We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company with a mass of identical and indistinguishable firms is modeled through the time-dependent price at which the produced good is sold. At equilibrium, this price is given in terms of a nonlinear function...