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DTSTART:20070311T020000
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DTSTAMP:20230905T085747
DTSTART;TZID=America/Detroit:20230906T130000
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SUMMARY:Workshop / Seminar:A mean-field version of Bank--El Karoui’s representation of stochastic processes
DESCRIPTION:We investigate a mean-field version of Bank--El Karoui's representation theorem of stochastic processes. Under different technical conditions\, we established some existence and uniqueness results. As motivation and first applications\, the results of mean-field representation provide a unified approach for studying various mean-field games (MFGs) in the setting with common noise and multiple populations\, including the MFG of timing and the MFG with singular control\, etc. As a crucial technical step\, a stability result was provided on the classical Bank--El Karoui’s representation theorem. It has its own interests and other applications\, such as deriving the stability results of optimizers (in the strong sense) for a class of optimal stopping and singular control problems.
UID:110301-21826998@events.umich.edu
URL:https://events.umich.edu/event/110301
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
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