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Séminaire informel de théorie des systèmes (ISS)

Linear-quadratic mean field games with a major player: Nash certainty equivalence versus master equations


13 nov. 2020   11h00 — 12h00

Minyi Huang Professeur titulaire, School of Mathematics and Statistics, Carleton University, Canada

Minyi Huang

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Nº du webinaire : 910 7928 6959
Code secret: VISS

Mean field games with a major player were introduced in (Huang, 2010) within a linear-quadratic (LQ) modeling framework. Due to the rich structure of major-minor player models, the past ten years have seen significant research efforts for different solution notions and analytical techniques. For LQ models, we address the relation between three solution frameworks: the Nash certainty equivalence (NCE) approach in (Huang, 2010), master equations, and asymptotic solvability, which have been developed starting with different ideas. We establish their equivalence relationships.

Peter E. Caines responsable
Aditya Mahajan responsable
Shuang Gao responsable
Yaroslav Salii responsable


Montréal Québec

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