Mean field games with major and minor players | Vidéo | Carmin.tv

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Mean field games with major and minor players

By René Carmona

Appears in collections : Research School, CEMRACS - Summer school: Numerical methods for stochastic models: control, uncertainty quantification, mean-field / CEMRACS - École d'été : Méthodes numériques pour équations stochastiques : contrôle, incertitude, champ moyen

We introduce a new strategy for the solution of Mean Field Games in the presence of major and minor players. This approach is based on a formulation of the fixed point step in spaces of controls. We use it to highlight the differences between open and closed loop problems. We illustrate the implementation of this approach for linear quadratic and finite state space games, and we provide numerical results motivated by applications in biology and cyber-security.

Information about the video

Date of recording 17/07/2017
Date of publication 26/07/2017
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers, Graduate Students
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19198003
Cite this video Carmona, René (17/07/2017). Mean field games with major and minor players. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19198003
URL https://dx.doi.org/10.24350/CIRM.V.19198003

Domain(s)

Bibliography

Carmona, R., & Zhu, X. (2016). A probabilistic approach to mean field games with major and minor players. The Annals of Applied Probability, 26(3), 1535-1580 - http://dx.doi.org/10.1214/15-AAP1125
Carmona, R., & Wang, P. (2016). Finite state mean field games with major and minor players. <arXiv:1610.05408> - https://arxiv.org/abs/1610.05408

MSC codes

Document(s)

http://smai.emath.fr/cemracs/cemracs17/Slides/carmona.pdf

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