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Audiovisual Mathematics Library

Audiovisual Mathematics Library

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Mean Field Games - lecture 1 - Cardaliaguet, Pierre (Author of the conference) | CIRM H

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The lecture is a short presentation of the theory of Mean Field Games (MFG) and Mean Field Control (MFC). After explaining how to derive these models from optimal control problems and games with a large number of players, we will describe the basic results of MFG (existence, uniqueness of the solution) and MFC, writing in the later case the associated infinite dimensional Hamilton-Jacobi equation and the optimality conditions.

35Q89 ; 49J55 ; 49K20

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Principal Agent Modelling - lecture 1 - Possamaï, Dylan (Author of the conference) | CIRM H

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These lectures will consist in an overview of recent progresses made in contracting theory, using the so-called dynamic programming approach. The basic situation is that of a Principal wanting to hire an Agent to do a task on his behalf, and who has to be properly incentivized. We will show how this general framework allows to treat volatility control problems arising for instance in delegated portfolio management, or in electricity pricing. If time permit, we will also analyze the situation of a Principal hiring a finite number of Agents who can interact with each other, as well as the associated mean-field problem. The theory will be mostly illustrated by examples ranging from finance and insurance applications to regulation issues.[-]
These lectures will consist in an overview of recent progresses made in contracting theory, using the so-called dynamic programming approach. The basic situation is that of a Principal wanting to hire an Agent to do a task on his behalf, and who has to be properly incentivized. We will show how this general framework allows to treat volatility control problems arising for instance in delegated portfolio management, or in electricity pricing. If ...[+]

93E20 ; 91B41

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Mean Field Games - lecture 2 - Cardaliaguet, Pierre (Author of the conference) | CIRM H

Multi angle

The lecture is a short presentation of the theory of Mean Field Games (MFG) and Mean Field Control (MFC). After explaining how to derive these models from optimal control problems and games with a large number of players, we will describe the basic results of MFG (existence, uniqueness of the solution) and MFC, writing in the later case the associated infinite dimensional Hamilton-Jacobi equation and the optimality conditions.

35Q89 ; 93E20 ; 49K20

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Principal Agent Modelling - lecture 2 - Possamaï, Dylan (Author of the conference) | CIRM H

Multi angle

These lectures will consist in an overview of recent progresses made in contracting theory, using the so-called dynamic programming approach. The basic situation is that of a Principal wanting to hire an Agent to do a task on his behalf, and who has to be properly incentivized. We will show how this general framework allows to treat volatility control problems arising for instance in delegated portfolio management, or in electricity pricing. If time permit, we will also analyze the situation of a Principal hiring a finite number of Agents who can interact with each other, as well as the associated mean-field problem. The theory will be mostly illustrated by examples ranging from finance and insurance applications to regulation issues.[-]
These lectures will consist in an overview of recent progresses made in contracting theory, using the so-called dynamic programming approach. The basic situation is that of a Principal wanting to hire an Agent to do a task on his behalf, and who has to be properly incentivized. We will show how this general framework allows to treat volatility control problems arising for instance in delegated portfolio management, or in electricity pricing. If ...[+]

91B41 ; 93E20

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Principal Agent Modelling - lecture 3 - Possamaï, Dylan (Author of the conference) | CIRM H

Multi angle

These lectures will consist in an overview of recent progresses made in contracting theory, using the so-called dynamic programming approach. The basic situation is that of a Principal wanting to hire an Agent to do a task on his behalf, and who has to be properly incentivized. We will show how this general framework allows to treat volatility control problems arising for instance in delegated portfolio management, or in electricity pricing. If time permit, we will also analyze the situation of a Principal hiring a finite number of Agents who can interact with each other, as well as the associated mean-field problem. The theory will be mostly illustrated by examples ranging from finance and insurance applications to regulation issues.[-]
These lectures will consist in an overview of recent progresses made in contracting theory, using the so-called dynamic programming approach. The basic situation is that of a Principal wanting to hire an Agent to do a task on his behalf, and who has to be properly incentivized. We will show how this general framework allows to treat volatility control problems arising for instance in delegated portfolio management, or in electricity pricing. If ...[+]

91B41 ; 93E20

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