Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Mean Field Games: Numerical Methods

Workshop: Computational Methods with Applications in Finance, Insurance and the Life Sciences AND Stochastic Methods in Partial Differential Equations and Applications of Deterministic and Stochastic PDEs

Time: Wed, November 19, 2008, 15:00-15:50

Speaker: Yves Achdou


Models of mean field type for the limit of Nash equilibria for stochastic game problems when the number of players tends to infinity have recently been studied by J.M. Lasry and P.L. Lions.
Such models have many applications in economy, and possibly in finance.
Numerical methods for the approximation of stationary and nonstationary such models are proposed. In particular, existence and uniqueness are investigated under various assumptions. Numerical results will be presented.

Presentation slides (pdf, 412 KB)

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