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Julien Claisse (Université Paris Dauphine) "Mean Field Games with Branching"

March 2, 2020 @ 4:30 pm - 5:30 pm | Organizers: Peter TANKOV, Caroline HILLAIRET

1st Monday of each month
Time: 4:30 pm – 5:30 pm
Date: 02th of March 2020
Place: Room 3105
Julien Claisse (Université Paris Dauphine) “Mean Field Games with Branching”
Abstract : Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical setting, the number of players is large but fixed throughout the game. However, in various applications, such as population dynamics or economic growth, the number of players can vary across time which may lead to different Nash equilibria. For this reason, we introduce a branching mechanism in the population of agents and obtain a variation on the mean field game problem. As a first step, we study a simple model using a PDE approach to illustrate the main differences with the classical setting. Then we study the problem in a general setting by a probabilistic approach, based upon the relaxed formulation of stochastic control problems.
Joint work with : Zhenjie Ren and Xiaolu Tan