Seminar Event Detail

Financial/Actuarial Mathematics

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
Institution:  UM

Event Organizer:     


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