Mean-Field Games with Controlled Jumps

Computational and Applied Mathematics Colloquium

Meeting Details

For more information about this meeting, contact Ludmil Zikatanov, Stephanie Zerby, Wenrui Hao,

Speaker: Luca Di Persio, Department of Computer Science, University of Verona, Italy

Abstract: In this talk we present a family of mean-field games (MFGs) with a controlled jump component. We establish the existence of a Nash equilibrium in a relaxed version of the MFG, also providing suitable conditions under which the optimal strategies are in fact Markovian. Moreover, we will show a concrete application of the aforementioned general theory within a financial framework, in particular with respect to the analysis of a simple illiquid inter-bank market model.

Room Reservation Information

Room Number: 114 McAllister

Date: 08/22/2016

Time: 2:30pm - 3:30pm