Large population stochastic control: analysis and numerical solution of the master equation.

par Jean-François Chassagneux

jeudi 17 nov. 2016, 14:00 → 15:00 Europe/Paris

112 (La Doua, ICJ, Bât. Braconnier)

In this talk, I will first describe some problems in large population stochastic control (e.g. Mean-Field Games). The solution to these problems are characterised by a master equation, as observed by Lasry-Lions, which is a PDE written on the Wasserstein space of probability measure. I will then recall the probabilistic representation of its solution in term of a (fully coupled) FBSDE with McKean-Vlasov interaction. Finally, I will introduce a scheme for this class of BSDEs and demonstrate its convergence both theoretically and practically. This is a joint work with D. Crisan and F. Delarue.