[CvGmt News] [Notiziario] [Settimanale] avviso seminario di Finanza Quantitativa e di Probabilità prof. Markus Fischer (18.03.2019)

Valeria Giuliani valeria.giuliani at sns.it
Wed Mar 6 09:29:24 CET 2019


Seminario di Finanza Quantitativa e di Probabilità



*Lunedì 18  marzo 2019*

ore 11:00



*Scuola Normale Superiore*

Pisa

Aula Bianchi Scienze





*Markus Fischer*

*(*University of Padua)



Terrà un seminario dal titolo:



*“On the convergence problem in mean field games: a two state model without
uniqueness”*



*Abstract:*

Mean field games are limit models for symmetric non-cooperative dynamic
N-player games as the number of players N tends to infinity. The notion of
solution usually adopted for the prelimit models is that of a Nash
equilibrium. The convergence problem consists in making the passage to the
limit rigorous. For Nash equilibria in Markov feedback strategies,
Cardaliaguet, Delarue, Lasry, and Lions (2015) established convergence
under the condition that the so-called master equation possesses a unique
(regular) solution. This implies uniqueness of solutions for the mean field
game. Here, we consider a simple two-state mean field game that exhibits
multiple solutions. We show that the (uniquely determined) Markov feedback
Nash equilibria of the associated N-player games select, as N tends to
infinity, a particular solution of the mean field game. That solution can
be characterized in different ways, as the unique entropy solution of the
master equation interpreted as a scalar conservation law, but also as the
optimizer of an associated deterministic control problem.



Tutti gli interessati sono invitati a partecipare.



Classe di Scienze


Valeria Giuliani
Scuola Normale Superiore
Servizio alla Didattica e Allievi
tel. 050 509260
Piazza dei Cavalieri, 7
56126 Pisa
E-mail: valeria.giuliani at sns.it
E-mail: classi at sns.it

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