A Probabilistic Approach To Classical Solutions Of The Master Equation For Large Population Equilibria

Author : Jean-François Chassagneux
Publisher : American Mathematical Society
ISBN 13 : 1470453754
Total Pages : 136 pages
Book Rating : 4.56/5 ( download)

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Download or read book A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria written by Jean-François Chassagneux and published by American Mathematical Society. This book was released on 2022-11-10 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.

Author : François Delarue
Publisher : American Mathematical Society
ISBN 13 : 1470455862
Total Pages : 284 pages
Book Rating : 4.66/5 ( download)

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Download or read book Mean Field Games written by François Delarue and published by American Mathematical Society. This book was released on 2021-12-14 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Dan Crisan
Publisher : Springer
ISBN 13 : 3319112929
Total Pages : 520 pages
Book Rating : 4.23/5 ( download)

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Download or read book Stochastic Analysis and Applications 2014 written by Dan Crisan and published by Springer. This book was released on 2014-12-13 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Articles from many of the main contributors to recent progress in stochastic analysis are included in this volume, which provides a snapshot of the current state of the area and its ongoing developments. It constitutes the proceedings of the conference on "Stochastic Analysis and Applications" held at the University of Oxford and the Oxford-Man Institute during 23-27 September, 2013. The conference honored the 60th birthday of Professor Terry Lyons FLSW FRSE FRS, Wallis Professor of Mathematics, University of Oxford. Terry Lyons is one of the leaders in the field of stochastic analysis. His introduction of the notion of rough paths has revolutionized the field, both in theory and in practice. Stochastic Analysis is the branch of mathematics that deals with the analysis of dynamical systems affected by noise. It emerged as a core area of mathematics in the late 20th century and has subsequently developed into an important theory with a wide range of powerful and novel tools, and with impressive applications within and beyond mathematics. Many systems are profoundly affected by stochastic fluctuations and it is not surprising that the array of applications of Stochastic Analysis is vast and touches on many aspects of life. The present volume is intended for researchers and Ph.D. students in stochastic analysis and its applications, stochastic optimization and financial mathematics, as well as financial engineers and quantitative analysts.

Author : André Gil Henriques
Publisher : American Mathematical Society
ISBN 13 : 1470455404
Total Pages : 100 pages
Book Rating : 4.08/5 ( download)

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Download or read book Planar Algebras in Braided Tensor Categories written by André Gil Henriques and published by American Mathematical Society. This book was released on 2023-02-13 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.

Author : Giorgio Fabbri
Publisher : Springer
ISBN 13 : 3319530674
Total Pages : 916 pages
Book Rating : 4.73/5 ( download)

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Download or read book Stochastic Optimal Control in Infinite Dimension written by Giorgio Fabbri and published by Springer. This book was released on 2017-06-22 with total page 916 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.

Author : Yves Achdou
Publisher : Springer Nature
ISBN 13 : 3030598373
Total Pages : 316 pages
Book Rating : 4.72/5 ( download)

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Download or read book Mean Field Games written by Yves Achdou and published by Springer Nature. This book was released on 2021-01-19 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Jean-François Chassagneux
Publisher : Springer
ISBN 13 : 3319631152
Total Pages : 104 pages
Book Rating : 4.58/5 ( download)

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Download or read book A Forward-Backward SDEs Approach to Pricing in Carbon Markets written by Jean-François Chassagneux and published by Springer. This book was released on 2017-10-05 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Mathematical Finance, the authors consider a mathematical model for the pricing of emissions permits. The model has particular applicability to the European Union Emissions Trading System (EU ETS) but could also be used to consider the modeling of other cap-and-trade schemes. As a response to the risk of Climate Change, carbon markets are currently being implemented in regions worldwide and already represent more than $30 billion. However, scientific, and particularly mathematical, studies of these carbon markets are needed in order to expose their advantages and shortcomings, as well as allow their most efficient implementation. This Brief reviews mathematical properties such as the existence and uniqueness of solutions for the pricing problem, stability of solutions and their behavior. These fit into the theory of fully coupled forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. The authors present a numerical algorithm to compute the solution to these non-standard FBSDEs. They also carry out a case study of the UK energy market. This involves estimating the parameters to be used in the model using historical data and then solving a pricing problem using the aforementioned numerical algorithm. The Brief is of interest to researchers in stochastic processes and their applications, and environmental and energy economics. Most sections are also accessible to practitioners in the energy sector and climate change policy-makers.

Author : Henri Berestycki
Publisher : American Mathematical Society
ISBN 13 : 1470454297
Total Pages : 282 pages
Book Rating : 4.96/5 ( download)

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Download or read book Asymptotic Spreading for General Heterogeneous Fisher-KPP Type Equations written by Henri Berestycki and published by American Mathematical Society. This book was released on 2022-11-10 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.

Author : Jang Soo Kim
Publisher : American Mathematical Society
ISBN 13 : 1470459949
Total Pages : 100 pages
Book Rating : 4.49/5 ( download)

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Download or read book Weight Multiplicities and Young Tableaux Through Affine Crystals written by Jang Soo Kim and published by American Mathematical Society. This book was released on 2023-03-09 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.

Author : Tarek M. Elgindi
Publisher : American Mathematical Society
ISBN 13 : 1470456826
Total Pages : 102 pages
Book Rating : 4.25/5 ( download)

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Download or read book On Singular Vortex Patches, I: Well-Posedness Issues written by Tarek M. Elgindi and published by American Mathematical Society. This book was released on 2023-03-09 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.