© Universität Bielefeld
Institut für Mathematische Wirtschaftsforschung
Veröffentlicht am
29. März 2022
Kategorie:
Forschung
Jodi Dianetti besucht die Univ. Padua und hält dort einen wiss. Vortrag
Jodi Dianetti besucht Markus Fischer an der Universität Padua, Dipartimento di Matematica Tullio Levi-Civita vom 28. März 2022 — 1. April 2022.
Webauftritt von Markus Fischer
In diesem Rahmen hält er einen Vortrag mit dem Titel "Submodular mean field games: Existence and approximation of solutions".
Abstract:
We study mean field games with scalar Itô-type dynamics and costs that are submodular with respect to a suitable order relation on the state and measure space. The submodularity assumption has a number of interesting consequences. Firstly, it allows us to prove existence of solutions via an application of Tarski's fixed point theorem, covering cases with discontinuous dependence on the measure variable. Secondly, it ensures that the set of solutions enjoys a lattice structure: in particular, there exist a minimal and a maximal solution. Thirdly, it guarantees that those two solutions can be obtained through a simple learning procedure based on the iterations of the best-response-map. Our approach also allows to treat submodular mean fi eld games with common noise, as well as mean field games with singular controls, optimal stopping and reflecting boundary conditions.
This talks is based on some joint works together with Giorgio Ferrari, Markus Fischer and Max Nendel.
Webauftritt von Markus Fischer
In diesem Rahmen hält er einen Vortrag mit dem Titel "Submodular mean field games: Existence and approximation of solutions".
Abstract:
We study mean field games with scalar Itô-type dynamics and costs that are submodular with respect to a suitable order relation on the state and measure space. The submodularity assumption has a number of interesting consequences. Firstly, it allows us to prove existence of solutions via an application of Tarski's fixed point theorem, covering cases with discontinuous dependence on the measure variable. Secondly, it ensures that the set of solutions enjoys a lattice structure: in particular, there exist a minimal and a maximal solution. Thirdly, it guarantees that those two solutions can be obtained through a simple learning procedure based on the iterations of the best-response-map. Our approach also allows to treat submodular mean fi eld games with common noise, as well as mean field games with singular controls, optimal stopping and reflecting boundary conditions.
This talks is based on some joint works together with Giorgio Ferrari, Markus Fischer and Max Nendel.