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Probabilistic Approach to Mean Field Games and the Control of McKean-Vlasov Dynamics

Monday, November 12, 2012 - 2:00pm - 3:00pm
Keller 3-180
Rene Carmona (Princeton University)
We review a series of recent results on Mean Field Games, including existence and the construction of approximate Nash equilibria. We also present the analog of the stochastic maximum principle approach to the optimal control of stochastic dynamics of the McKean-Vlasov type. In both cases existence results are proven by solving forward-backward stochastic differential equations of the McKean-Vlasov type. (joint works with F. Delarue)
MSC Code: 
11H60
Keywords: