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arXiv2026

Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games

A relationship between two sided discounted singular control problems and Dynkin games is established for real valued Lévy processes. In addition, the solution of a two-sided ergodic singular control problem is obtained as the limit of the corresponding solution of the discounted one. With these results, we conclude that the optimal controls within the class of cadlag strategies can be in fact found in the class of reflecting barriers controls for both problems, and solved through some deterministic equations. To illustrate the results, three examples are given: compound Poisson processes with two-sided exponential jumps with and without Gaussian component, and stable processes.

math.PR↗

arXiv2025

Mean-Field Games with two-sided singular controls for Lévy processes

In a probabilistic mean field game driven by a Lévy process an individual player aims to minimize a long run discounted/ergodic cost by controlling the process through a pair of increasing and decreasing càdlàg processes, while he is interacting with an aggregate of players through the expectation of a controlled process by another pair of càdlàg processes. With the Brouwer fixed point theorem, we provide easy to check conditions for the existence of mean field game equilibrium controls for both the discounted and ergodic control problem, characterize them as the solution of an integro-differential equation and show with a counterexample that uniqueness does not always holds. Furthermore, we study the convergence of equilibrium controls in the abelian sense. Finally, we treat the convergence of a finite-player game to this problem to justify our approach.

math.OC↗