Speaker: 

R. Carmona

Institution: 

Princeton University

Time: 

Thursday, April 2, 2015 - 4:00pm to 5:00pm

Host: 

Location: 

RH306

After discussing a few examples of herding and flocking, we review the mean field game paradigm as introduced by Lasry and Lions. Using a probabilistic reformulation of the problem, we demonstrate how the solutions of these models can be identified with solutions of forward - backward stochastic differential equations (FBSDEs) of McKean-Vlasov type. We give existence and uniqueness results for a large class of these FBSDEs and if time permits, we discuss the similarities and differences with the solutions of the optimal control of McKean-Vlasov stochastic differential equations