Seminario di Equazioni Deifferenziali e Applicazioni: “A new construction of the second order master equation”

Mercoledì 11 Aprile 2018, ore 12:00 - Aula 2BC30 - Pierre Cardaliaguet


Mercoledì 11 aprile 2018 alle ore 12:00 in Aula 2BC30, Pierre Cardaliaguet (Ceremade, Université Paris-Dauphine) terrà un seminario dal titolo “A new construction of the second order master equation”.

Mean field games study optimal stochastic control problems with infinitely many players. In this context, the master equation, a partial differential equation stated on the space of measures, explains how players choose to their control in function of the distribution of other players and their own state. It also allows to understand the mean field limit of the so-called Nash system. In this joint work with A. Porretta (Rome Tor Vergata), we propose a new construction of the solutions of the second order master equation and derive from it a solution of the so-called stochastic MFG system for problems with common noise.

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