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Financial/Actuarial Mathematics Seminar

Van Eenam Lecture II: Mean field games with unbounded controls and general criteria
Wednesday, March 22, 2023
4:00-5:00 PM
1360 East Hall Map
Speaker(s): Thaleia Zariphopoulou (University of Texas at Austin)

Abstract: I will present and analyze a mean field game with unbounded controls in both the drift and the volatility, and with general payoffs and competition criteria. I will derive the master equation and present solutions, and also construct the optimal state and control processes. The case of random payoffs and competition functions will be also discussed (joint work with P. Souganidis).
Building: East Hall
Event Type: Workshop / Seminar
Tags: AEM Featured, Mathematics
Source: Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics, Special Events - Department of Mathematics