Mean-field games with controlled jumps

Phd Seminars Cycle 30th

13 ottobre 2017
Versione stampabile

Luogo: Aula Seminari "-1" -  Dipartimento di Matematica - Via Sommarive 14 - Povo - Trento
ore 15.00

  • Chiara Benazzoli - PhD in mathematics

Abstract:
We study a family of mean field games (MFGs) with a controlled jump component. We establish the existence of a solution in a relaxed version of the MFG and give conditions guaranteeing that the optimal strategies are in fact Markovian.
Such a game represents the limit, as n goes to infinity, of a n-player nonzero-sum stochastic differential game, with controlled jumps and mean field type interaction among the players.
Under the assumption that the limiting game admits a Markovian solution, we show that an approximate Nash equilibrium can be constructed for the finite-player game.

Supervisor: Luca Di Persio (Università di Verona)