FINTECH THRUST SEMINAR | Mean Field Game Theory and Its Master Equation
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Mean Field Game Theory and Its Master Equation
Abstract:
Initiated independently by Caines-Huang-Malhame and Lasry-Lions, mean field games have received very strong attention recently. Such problems consider the limit behavior of large systems where the agents interact with each other in some symmetric way, with systemic risk as a notable application. The master equation, introduced by Lions, is a powerful tool in the framework, which plays the role of the PDE in the standard literature of controls/games. A central question in the theory is the global wellposedness of this infinite-dimensional nonlocal equation. The master equation can be described through a forward-backward system of mean field stochastic differential equations or stochastic partial differential equations. In this series of talks, we would like to discuss the global wellposedness of mean field game master equations in various settings, mainly via the techniques of forward-backward stochastic differential equations. The talks are based on joint works with Gangbo-Meszaros-Zhang, and Zhang.
Chenchen Mou is currently an associate professor of mathematics at City University of Hong Kong. He received his bachelor's degree and master's degree in mathematics from Jilin University, China, in 2009 and 2011, respectively. He received his PhD in mathematics from Georgia Institute of Technology, USA, in 2016. Before joining City University of Hong Kong in 2020, he worked as an assistant adjunct professor at UCLA.