Mean Field Game Theory and Its Master Equation
报告专家：Chenchen Mou（Department of Mathematics, City University of Hong Kong）
课程时间：
2024年5月14日（星期二）上午9：00-12：00
2024年5月15日（星期三）上午9：00-12：00
2024年5月16日（星期四）上午9：00-12：00
课程地点：国家天元数学西南中心516报告厅
课程摘要：Initiated independently by Caines-Huang-Malhame and Lasry-Lions, mean field games have received very strong attention recently. Such problems consider limit behavior of large systems where the agents interact with each other in some symmetric way, with the systemic risk as a notable application. The master equation, introduced by Lions, is a powerful tool in the framework, which plays the role of the PDE in the standard literature of controls/games. A central question in the theory is the global wellposedness of this infinite dimensional nonlocal equation. The master equation can be describted through a forward-backward system of mean field stochastic differential eqautions or stochastic partial differential equations. In this series of talks, we would like to discuss the global wellposedness of mean field game master equations in various settings mainly via the techniques of forward-backward stochastic differential equations. The talks are based on joint works with Gangbo-Meszaros-Zhang, Zhang.
邀请人：吕琦
