Rene Carmona: Mean Field Games: theory and applications

Submitted by Arts & Sciences Web Team on

The Department of Applied Mathematics is pleased to host this series of colloquium lectures, funded in part by a generous gift from the Boeing Company. This series will bring to campus prominent applied mathematicians from around the world.

Speaker: Rene Carmona, Princeton University

Date: February 2nd, 2017, 4pm, reception to follow

Location: (DEM 104)

Title: Mean Field Games: theory and applications

Abstract: We review the Mean Field Game paradigm introduced independently by Caines-Huang-Malhame and Lasry-Lyons ten years ago, and we illustrate their relevance to applications with a couple of examples (bird flocking and room exit). We then review the probabilistic approach based on Forward-Backward Stochastic Differential Equations, and we derive the Master Equation from a version of the chain rule (Ito’s formula) for functions over flows of probability measures. Finally, motivated by the literature on economic models of bank runs, we introduce mean field games of timing and discuss new results, and some of the many remaining challenges.