Large population stochastic control: analysis and numerical solution of the master equation.
par
Jean-François Chassagneux
→
Europe/Paris
112 (La Doua, ICJ, Bât. Braconnier)
112
La Doua, ICJ, Bât. Braconnier
Description
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.