Tuesday, February 22, 2022 - 11:15 in H7 + Zoom
Nonlocal MFGs, analysis and numerics
A talk in the Nonlocal Equations: Analysis and Numerics series by
Espen Robstad Jakobsen from Gløshaugen
| Abstract: |
Mean Field Games (MFGs) is currently a very active area of research. In these games of large/infinite number of agents, the Nash equilibria can sometimes be described by a coupled system of nonlinear PDEs: (i) a backward HJB equation for the decision making of the generic agent, and (ii) a forward Fokker-Planck equation for the distribution of agents. In the presence of noise, both equations include diffusion terms, and if noise has long-distance interactions/fat tails, it can often be modelled by a Levy jump process. In such cases the diffusion and MFG system will be nonlocal. Nonlocal diffusions are sometimes called anomalous diffusions, and are common in e.g. Physics and Finance. In this talk I will discuss recent results for nonlocal MFG systems: (1) Existence and uniqueness of solutions and (2) a Semi-Lagrangian numerical approximation with a convergence analysis.
Within the CRC this talk is associated to the project(s): A7 |
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