Mean-Field Games with Controlled Jumps
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
Time: 2:30pm - 3:30pm