On Mean-field Singular Stochastic Control Problems
Abstract
We study a class of mean-field control (MFC) problems with singular controls over a finite horizon, allowing for general dependence of the cost functional on the measure argument. We derive an auxiliary mean-field game (MFG) with singular controls, which we refer to as a potential MFG, and show that, under suitable convexity assumptions, any solution to this potential MFG yields a solution to the original MFC problem. We apply this general result to a version of the classical Monotone Follower Problem by I. Karatzas and S. E. Shreve (SIAM Journal on Control and Optimization 22(6), pp. 856-877, 1984) with scalar mean-field interaction. The associated potential MFG with singular controls is solved by exploiting its connection with optimal stopping for the optimization step and by a suitable application of the Kakutani-Fan-Glicksberg fixed-point theorem. In the case of strategic complementarities, the mean-field equilibrium (and hence the optimal policy of the original MFC problem) is characterized by a continuous nonincreasing free boundary that uniquely solves a nonlinear integral equation. To the best of our knowledge, this is the first paper to provide a complete characterization of the optimal policy in a finite-horizon mean-field singular stochastic control problem.
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BibTeX
@misc{amato2026meanfield,
title = {{On Mean-field Singular Stochastic Control Problems}},
author = {Andrea Amato and Federico Cannerozzi and Giorgio Ferrari},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2607.26808},
eprint = {2607.26808},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2607.26808},
}
RIS
TY - UNPB
TI - On Mean-field Singular Stochastic Control Problems
AU - Andrea Amato
AU - Federico Cannerozzi
AU - Giorgio Ferrari
PY - 2026
DA - 2026/10/12
PB - arXiv
DO - 10.48550/arxiv.2607.26808
UR - https://arxiv.org/abs/2607.26808
AB - We study a class of mean-field control (MFC) problems with singular controls over a finite horizon, allowing for general dependence of the cost functional on the measure argument. We derive an auxiliary mean-field game (MFG) with singular controls, which we refer to as a potential MFG, and show that, under suitable convexity assumptions, any solution to this potential MFG yields a solution to the original MFC problem. We apply this general result to a version of the classical Monotone Follower Problem by I. Karatzas and S. E. Shreve (SIAM Journal on Control and Optimization 22(6), pp. 856-877, 1984) with scalar mean-field interaction. The associated potential MFG with singular controls is solved by exploiting its connection with optimal stopping for the optimization step and by a suitable application of the Kakutani-Fan-Glicksberg fixed-point theorem. In the case of strategic complementarities, the mean-field equilibrium (and hence the optimal policy of the original MFC problem) is characterized by a continuous nonincreasing free boundary that uniquely solves a nonlinear integral equation. To the best of our knowledge, this is the first paper to provide a complete characterization of the optimal policy in a finite-horizon mean-field singular stochastic control problem.
ER -