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Convergence rate of LQG mean field games with common noise

Jiamin Jian, WPI
Wednesday, December 20, 2023
4:00-5:00 PM
Off Campus Location
his work focuses on exploring the convergence properties of a generic player’s trajectory and empirical measures in an N-player Linear-Quadratic-Gaussian Nash game, where Brownian motion serves as the common noise. The study establishes three distinct convergence rates concerning the representative player and empirical measure. To investigate the convergence, the methodology relies on a specific decomposition of the equilibrium path in the N-player game and utilizes the associated Mean Field Game framework. It is a joint work with Prof. Qingshuo Song and Dr. Jiaxuan Ye.
Building: Off Campus Location
Location: Virtual
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Financial/Actuarial Mathematics Seminar - Department of Mathematics, Department of Mathematics