Probabilistic Theory Of Mean Field Games With Applications Ii
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Probabilistic Theory of Mean Field Games with Applications II
Author | : René Carmona,François Delarue |
Publsiher | : Springer |
Total Pages | : 700 |
Release | : 2018-03-08 |
Genre | : Mathematics |
ISBN | : 9783319564364 |
Download Probabilistic Theory of Mean Field Games with Applications II Book in PDF, Epub and Kindle
This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions. Volume II tackles the analysis of mean field games in which the players are affected by a common source of noise. The first part of the volume introduces and studies the concepts of weak and strong equilibria, and establishes general solvability results. The second part is devoted to the study of the master equation, a partial differential equation satisfied by the value function of the game over the space of probability measures. Existence of viscosity and classical solutions are proven and used to study asymptotics of games with finitely many players. Together, both Volume I and Volume II will greatly benefit mathematical graduate students and researchers interested in mean field games. The authors provide a detailed road map through the book allowing different access points for different readers and building up the level of technical detail. The accessible approach and overview will allow interested researchers in the applied sciences to obtain a clear overview of the state of the art in mean field games.
Probabilistic Theory of Mean Field Games with Applications I
Author | : René Carmona,François Delarue |
Publsiher | : Springer |
Total Pages | : 714 |
Release | : 2018-03-01 |
Genre | : Mathematics |
ISBN | : 9783319589206 |
Download Probabilistic Theory of Mean Field Games with Applications I Book in PDF, Epub and Kindle
This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions. Volume I of the book is entirely devoted to the theory of mean field games without a common noise. The first half of the volume provides a self-contained introduction to mean field games, starting from concrete illustrations of games with a finite number of players, and ending with ready-for-use solvability results. Readers are provided with the tools necessary for the solution of forward-backward stochastic differential equations of the McKean-Vlasov type at the core of the probabilistic approach. The second half of this volume focuses on the main principles of analysis on the Wasserstein space. It includes Lions' approach to the Wasserstein differential calculus, and the applications of its results to the analysis of stochastic mean field control problems. Together, both Volume I and Volume II will greatly benefit mathematical graduate students and researchers interested in mean field games. The authors provide a detailed road map through the book allowing different access points for different readers and building up the level of technical detail. The accessible approach and overview will allow interested researchers in the applied sciences to obtain a clear overview of the state of the art in mean field games.
Probabilistic Theory of Mean Field Games with Applications I II
Author | : René Carmona,François Delarue |
Publsiher | : Springer |
Total Pages | : 0 |
Release | : 2018-05-02 |
Genre | : Mathematics |
ISBN | : 3319598201 |
Download Probabilistic Theory of Mean Field Games with Applications I II Book in PDF, Epub and Kindle
This two-volume set offers an expansive overview of the probabilistic approach to game models and their applications. Considered the first comprehensive treatment of the theory of mean field games, much of the content is original and has been designed especially for the purpose of this book. Volume I of the set is entirely devoted to the theory of mean field games without a common noise, whereas Volume II analyzes mean field games in which the players are subject to games with a common noise. Together, both Volume I and Volume II will benefit researchers in the field as well as PhD and graduate students working on the subject due to the self-contained nature and applications with explicit examples throughout.
Mean Field Games
Author | : François Delarue |
Publsiher | : American Mathematical Society |
Total Pages | : 284 |
Release | : 2021-12-14 |
Genre | : Mathematics |
ISBN | : 9781470455866 |
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This volume is based on lectures delivered at the 2020 AMS Short Course “Mean Field Games: Agent Based Models to Nash Equilibria,” held January 13–14, 2020, in Denver, Colorado. Mean field game theory offers a robust methodology for studying large systems of interacting rational agents. It has been extraordinarily successful and has continued to develop since its inception. The six chapters that make up this volume provide an overview of the subject, from the foundations of the theory to applications in economics and finance, including computational aspects. The reader will find a pedagogical introduction to the main ingredients, from the forward-backward mean field game system to the master equation. Also included are two detailed chapters on the connection between finite games and mean field games, with a pedestrian description of the different methods available to solve the convergence problem. The volume concludes with two contributions on applications of mean field games and on existing numerical methods, with an opening to machine learning techniques.
Machine Learning and Data Sciences for Financial Markets
Author | : Agostino Capponi,Charles-Albert Lehalle |
Publsiher | : Cambridge University Press |
Total Pages | : 743 |
Release | : 2023-04-30 |
Genre | : Mathematics |
ISBN | : 9781009034036 |
Download Machine Learning and Data Sciences for Financial Markets Book in PDF, Epub and Kindle
Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.
A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria
Author | : Jean-François Chassagneux,Dan Crisan,François Delarue |
Publsiher | : American Mathematical Society |
Total Pages | : 136 |
Release | : 2022-11-10 |
Genre | : Mathematics |
ISBN | : 9781470453756 |
Download A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria Book in PDF, Epub and Kindle
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Mean Field Games
Author | : Yves Achdou,Pierre Cardaliaguet,François Delarue,Alessio Porretta,Filippo Santambrogio |
Publsiher | : Springer Nature |
Total Pages | : 316 |
Release | : 2021-01-19 |
Genre | : Mathematics |
ISBN | : 9783030598372 |
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This volume provides an introduction to the theory of Mean Field Games, suggested by J.-M. Lasry and P.-L. Lions in 2006 as a mean-field model for Nash equilibria in the strategic interaction of a large number of agents. Besides giving an accessible presentation of the main features of mean-field game theory, the volume offers an overview of recent developments which explore several important directions: from partial differential equations to stochastic analysis, from the calculus of variations to modeling and aspects related to numerical methods. Arising from the CIME Summer School "Mean Field Games" held in Cetraro in 2019, this book collects together lecture notes prepared by Y. Achdou (with M. Laurière), P. Cardaliaguet, F. Delarue, A. Porretta and F. Santambrogio. These notes will be valuable for researchers and advanced graduate students who wish to approach this theory and explore its connections with several different fields in mathematics.
Modeling Stochastic Control Optimization and Applications
Author | : George Yin,Qing Zhang |
Publsiher | : Springer |
Total Pages | : 599 |
Release | : 2019-07-16 |
Genre | : Mathematics |
ISBN | : 9783030254988 |
Download Modeling Stochastic Control Optimization and Applications Book in PDF, Epub and Kindle
This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.