|Date: Wednesday, October 13, 2021
Location: 1324 EH East Hall (4:00 PM to 5:00 PM)
Title: Mean field control and finite agent approximation for regime-switching jump diffusions
Abstract: We consider a mean field control problem with regime switching in the state dynamics. The corresponding value function is characterized as the unique viscosity solution of a HJB master equation. We prove that the value function is the limit of a finite agent centralized optimal control problem as the number of agents go to infinity. In the process, we derive the convergence rate and a propagation of chaos result for the optimal trajectory of agent states.
Speaker: Prakash Chakraborty