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Financial/Actuarial Mathematics Seminar

Mean field control and finite agent approximation for regime-switching jump diffusions
Wednesday, October 13, 2021
4:00-5:00 PM
1324 EH East Hall Map
We consider a mean field control problem with regime switching in the state dynamics. The corresponding value function is characterized as the unique viscosity solution of a HJB master equation. We prove that the value function is the limit of a finite agent centralized optimal control problem as the number of agents go to infinity. In the process, we derive the convergence rate and a propagation of chaos result for the optimal trajectory of agent states. Speaker(s): Prakash Chakraborty (UM)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics