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The Master Equation in Mean Field Games

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Abstract:
In this joint work with François Delarue, we investigate the so-called « Master equation » in mean field game theory. Mean Field Games is a developing area which allows to model the dynamics of large number of agents. In this setting, the solution of the master equation has been conjectured to describe the general behavior of these agents. We show here that the master equation is well-posed and can be obtained as the limit of Nash equilibria of differential games when the number of players tends to infinity.

Type of Seminar:
Optimization and Applications Seminar
Speaker:
Prof. Pierre Cardaliaguet
University Paris-Dauphine
Date/Time:
Mar 09, 2015   CANCELLED! 16:30
Location:

HG G 19.1, Rämistrasse 101
Contact Person:

Prof. Lygeros
No downloadable files available.
Biographical Sketch:
Professor of Mathematics at Brest University from 2000 to 2010 and at Paris-Dauphine since 2010, Pierre Cardaliaguet works on partial differential equations (and more specifically on Hamilton-Jacobi equations), calculus of variation, optimal control and differential games.