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Mean-field optimal stopping with endogenous quantile cutoffs

Bayraktar, Erhan et al.
arXiv (All) · Papers
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60g4060k3593e20optimization-and-controlprobability
We study a mean-field optimal stopping problem with an endogenous population-level shutdown. All remaining agents stop when the survival mass falls below a prescribed threshold. We recast the discontinuous objective as the singular, nonconvex constraint that the survival mass lie in $\{0\}\cup[α,1]$
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