Year: 2026
Type: preprint
Abstract: We study a stationary ergodic mean-field game of scalar type where the representative player controls a diffusion through two-sided singular controls exerted only at the jump times of an independent Poisson process. For each mean-field parameter, we solve the novel constrained ergodic singular control problem, proving that the optimal policy is of threshold type: the diffusion is reset at Poisson arrival times to the nearest boundary point of an interval. Our explicit probabilistic derivation of the stationary distributions induced by Poissonian threshold singular controls is a key contribution of independent interest. This distribution is used to construct the mean-field fixed-point map. We prove existence and uniqueness of the stationary mean-field equilibrium by combining the stationary density with the monotonicity and continuity of the optimal thresholds in the mean-field parameter. The model provides a tractable framework for a case study of partially reversible investment with singular adjustments under exogenous intervention constraints.
Source: arXiv (Cornell University)
Institution: Bielefeld University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7221577027