Stationary Mean-Field singular control of an Ornstein-Uhlenbeck process

TL;DR

This paper addresses stationary mean-field control problems with singular controls for Ornstein-Uhlenbeck processes, providing explicit solutions by linking them to stationary mean-field games and characterizing their equilibria.

Contribution

It introduces a novel approach to solve stationary mean-field control problems with singular controls by explicitly characterizing and solving the associated mean-field game.

Findings

Explicit solution to the stationary mean-field game.

Bijection between control problem solutions and mean-field game equilibria.

Application to optimal inventory management models.

Abstract

Motivated by continuous-time optimal inventory management, we study a class of stationary mean-field control problems with singular controls. The dynamics are modeled by a mean-reverting Ornstein-Uhlenbeck process, and the performance criterion is given by a quadratic long-time average expected cost functional. The mean-field dependence is through the stationary mean of the controlled process itself, which enters the ergodic cost functional. We characterize the solution to the stationary mean-field control problem in terms of the equilibria of an associated stationary mean-field game, showing that solutions of the control problem are in bijection with the equilibria of this mean-field game. Finally, we solve the stationary mean-field game explicitly, thereby providing a solution to the original stationary mean-field control problem.