The Department of Applied Mathematics would like to invite you to join us for the upcoming Boeing Distinguished Colloquia which features Prof. Rene Carmona from Princeton.
The Boeing seminar is scheduled on February 2nd, 2017 (Thursday) from 4:00 pm to 5:00 pm at Dempsey Hall 104.
A reception will be held at Lewis Hall (Lounge, 2nd floor) after the Boeing seminar.
Speaker: Prof. Rene Carmona (ORFE, Princeton)
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.”