Mean Field Games
Abstract
This workshop would bring together both experts in the field and researchers from related fields who want to learn about Mean Field" Games. It would cover the formulation and theory of MFGs, generalizations including additional effects, numerical methods and appli"cations of MFGs. There are currently two approaches to the formulation and the analysis of MFGs. The first is based on the solution" of acoupled system of highly nonlinear PDEs (Hamilton-Jacobi-Bellman and Fokker-Planck). In some cases, this approach can be reduc"ed to the solution of an infinite dimensional transport equation on the space of measures. It is called ~master equation~ of the game and its theory is in its infancy. The second approach is probabilistic: it relies on the solution of a forward-backward stochastic differential system of equations of McKean-Vlasov type. Generalizations touted during the workshop will include finite size effects", heterogeneities such as the inclusion of a number of systemic agents whose effects are too large to be included in the continuum (""i.e., major-minor players), andmore complex forms of interactions and equilibria. This would also include connections between MFGs" and other fields. Numerical methods for MFGs are difficult in general and have mostly been worked out in the context of specific applications and appropriate simplifications. Thus these two topics would be treated together.The workshop will be held for five days", August 28-September 1, 2017 at IPAM. It will consist of approximately 5 talks per day, with the last talk possibly replaced by a p""anel discussion or open problem session. Each day would include an expository talk presented by a carefully chosen speaker, aimed at" introducing the field and ensuring that theparticipants have a common understanding. There will also be a time for poster presentations. Between talks there will be ample time for interaction among the participants. This proposal is also for funds to support the" program review for ONR~s Applied and Computational Analysis Program, under the direction of Dr. Reza Malek-Madani. This review will"" be held at IPAM for 4 days Sept 5-8, 2017. IPAM staffwill prepare for the program review and will operate a welcoming/information"" table, manned throughout the review.
Document Details
- Document Type
- DoD Grant Award
- Publication Date
- Sep 29, 2017
- Source ID
- N000141712912
Entities
People
- Russel E. Caflisch
Organizations
- Office of Naval Research
- United States Navy
- University of California, Los Angeles