| Crédit : 6 ECTS |
| Langue du cours : anglais
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Volume horaire
- CM :
18 h
- Volume horaire global (hors stage) :
18 h
Compétences à acquérir
Mastering of the mean field games technics.
Description du contenu de l'enseignement
Stochastic Control cours (1rst semester) is a necessary prerequisite. Mean field games is a new theory developed by Jean-Michel Lasry and Pierre-Louis Lions that is interested in the limit when the number of players tends towards infinity in stochastic differential games. This gives rise to new systems of partial differential equations coupling a Hamilton-Jacobi equation (backward) to a Fokker-Planck equation (forward). We will present in this course some results of existence, uniqueness and the connections with optimal control, mass transport and the notion of partial differential equations on the space of probability measures.
Pré-requis recommandés
Stochastic analysis, Stochastic control.
Bibliographie, lectures recommandées
Notes on the course: https://www.ceremade.dauphine.fr/~cardaliaguet/Enseignement.html#ENSEIGNEMENT
Enseignant responsable
CHARLES BERTUCCI