Mean Field Game Theory and Its Master Equation

报告专家:Chenchen Mou(Department of Mathematics, City University of Hong Kong)






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.


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