Monday, July 10, 2023 - 11:00 in ZiF
Mean field game with an informed major player
A talk in the SPDEs, optimal control and mean field games series by
Pierre Cardaliaguet from Paris
| Abstract: |
In this joint work with C. Rainer (U. Brest) and P. Bergault (U. Paris Dauphine),
we study stochastic differential games with infinitely many small players and
a major one who possesses some private information. The major player uses his
information to influence the behavior of the small players and optimize his payoff
depending on the small players' density. We show that his optimal strategy in
the game with infinitely players exists and remains almost optimal in games with
finitely many players.
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