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