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evenements:seminaireproba-math-fi [2019/04/08 20:03]
Valérie Picot
evenements:seminaireproba-math-fi [2019/04/18 08:34]
Valérie Picot
Line 7: Line 7:
 **__Exposés de l'​année 2019__ :** **__Exposés de l'​année 2019__ :**
 +**18 avril à 14h00 :** <color #088A85> Roxana Dumitrescu </​color> ​ (King'​s College London) ​ //  Mean-field games of optimal stopping: a relaxed solution approach//
 +++ Voir résumé |  \\We consider the mean-field game where each agent determines the optimal time to exit the game by solving anoptimal stopping problem with reward function depending on the density of the state processes of agents still present in thegame. We place ourselves in the framework of relaxed optimal stopping, which amounts to looking for the optimal occupationmeasure of the stopper rather than the optimal stopping time. This framework allows us to prove the existence of the relaxedNash equilibrium and the uniqueness of the associated value of the representative agent under mild assumptions. Further, weprove a rigorous relation between relaxed Nash equilibria and the notion of mixed solutions introduced in earlier works on thesubject, and provide a criterion, under which the optimal strategies are pure strategies, that is, behave in a similar way tostopping times. Finally, we present a numerical method for computing the equilibrium in the case of potential games and showits convergence (joint work with  Peter Tankov and G. Bouveret).
 **11 avril à 14h00 :** <color #088A85> Caroline Hillairet </​color> ​ (ENSAE) //  Aggregation of  heterogeneous ​ consistent progressive utilities// **11 avril à 14h00 :** <color #088A85> Caroline Hillairet </​color> ​ (ENSAE) //  Aggregation of  heterogeneous ​ consistent progressive utilities//
evenements/seminaireproba-math-fi.txt · Last modified: 2020/05/06 11:32 by Valérie Picot

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