LARSyS Lecture Series in Engineering and Mathematics 

11/01/2012, 14:00 — 15:00 — Room P3.10, Mathematics Building
Olivier Guéant, Université Paris-Diderot

Games with infinitely many players: the mean field games approach

The PDEs corresponding to mean field games are two strongly coupled PDEs: one (backward) Hamilton-Jacobi-Bellman equation and one (forward) transport equation. We will present these equations and prove a very general criterion for uniqueness. Existence will be discussed but only proved in the case of quadratic hamiltonians for which many results are known and will be proved (constructive schemes, comparison principle,...).

See also

https://www.math.tecnico.ulisboa.pt/galg/LARSyS-II/slides.pdf