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Financial/Actuarial Mathematics Seminar

Fluctuations in finite state many player games
Monday, August 27, 2018
3:00-4:00 PM
1360 East Hall Map
We consider an n-player symmetric stochastic game with weak interactions between the players. Time is continuous and the horizon and the number of states are finite. We show that the value function of each of the players can be approximated by the solution of a partial differential equation called the master equation. Moreover, we analyze the fluctuations of the empirical measure of the states of the players in the game and show that it is governed by a solution to a stochastic differential equation.

Joint work with Erhan Bayraktar Speaker(s): Asaf Cohen (University of Haifa)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics