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DTSTART:20070311T020000
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BEGIN:VEVENT
DTSTAMP:20211201T181539
DTSTART;TZID=America/Detroit:20211201T160000
DTEND;TZID=America/Detroit:20211201T170000
SUMMARY:Workshop / Seminar:Financial/Actuarial Mathematics Seminar
DESCRIPTION:Mean Field Games (MFGs) model equilibria in games with a continuum of weakly interacting players as limiting systems of symmetric $n$-player games. We consider the finite-state\, infinite-horizon problem with two cost criteria: discounted and ergodic. Assuming Markovian controls\, we prove convergence of each $n$-player equilibria to their respective mean field limits through the so-called Master Equation approach. Convergence requires regularity results for the discounted and ergodic Master Equations\, so we introduce several linearized systems of ODEs to allow this. We prove convergence by constructing an approximate system to the $n$-player game through the Master Equation. Then under stationary distributions associated with jump processes arising from the $n$-player and approximate $n$-player systems\, taking the discount factor $r>0$ small enough allows for some results in the discounted setting to transfer over to the ergodic setting. Speaker(s): Ethan Zell (UM)
UID:88323-21652503@events.umich.edu
URL:https://events.umich.edu/event/88323
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1324
CONTACT:
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