Denna tjänst avvecklas 2026-01-19. Läs mer här (länk)

Denna tjänst avvecklas 2026-01-19. Läs mer här (länk)

KTH Mathematics

Optimal Control of Mean-Field Type and Backward Stochastic Differential Equations Past meetings Meeting 1 - May 5 10:15 in room 3418 Topic: General introduction Slides Meeting 2 - May 7 10:15 in room 3418 Topic: MP, proofs of necessary conditions and sufficient conditions. Mentioned paper: Mean-Field Pontryagin Maximum Principle Meeting 3 - May 12 10:00 in room 3721 Topic: SMP when volatility is uncontrolled (nec. part), BSDE intro Meeting 4 - May 18 15:15 in room 3721 Topic: More on BSDE Meeting 5 - May 19 10:15 in room 3418 Topic: More on the SMP when volatility is uncontrolled (nec. part), Linear-Quadratic example Meeting 6 - May 25 15:15 in room 3721 Topic: The full SMP, Risk-Sensitive control Mentioned paper: A general stochastic maximum principle for optimal control problems Meeting 7 - May 27 15:15 in room 3418 Topic: Mean-field SMP in the presence of expectations, Markowitz model example Mentioned paper: Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework Meeting 8 - June 2 15:15 in room 3418 Topic: SMP for risk-sensitive cost functionals Meeting 9 - June 3 15:15 in room 3418 Topic: Application of the SMP for risk-sensitive cost functionals to a linear-quadratic example. Mentioned paper: The Principal-Agent Problem; A Stochastic Maximum Principle Appproach Meeting 10 - September 3 15:15 in room 3418 Topic: The mean-field model, Nash equilibrium Mentioned text: Notes on Mean Field Games Meeting 11 - September 10 13:15 in room 3418 Topic: Existence and uniqueness of solutions to the Mean-Field equation, epsilon-Nash equilibrium Mentioned result: Kakutani fixed point theorem Meeting 12 - September 17 13:15 in room 3418 Topic: Differentiation w.r.t probability measures, Pontryagin's MP under dependence on measures Mentioned paper: Forward-backward stochastic differential equations and controlled McKean-Vlasov Dynamics Meeting 13 - September 24 13:15 in room 3418 Topic: FBSDE and limits of N-player games under dependence on measures. Mentioned paper: Forward-backward stochastic differential equations and controlled McKean-Vlasov Dynamics Meeting 14 - October 1 13:15 in room 3418 The topic of this meeting will be the paper Mean-Field Pontryagin Maximum Principle Meeting 15 - October 8 13:15 in room 3418 Presentation of engineering papers concerning mean-field games Göran -Paper: Mean-field games and two-point boundary value problems - Slides Alexander - Paper: Consensus and Disagreement in Collective Homing Problems - Slides Meeting 16 - October 15 13:15 in room 3418 Presentation of engineering papers concerning mean-field games Salah - Paper: Mean Field Capital Accumulation with Stochastic Depreciation - Slides Göran - Paper: Individual Risk in Mean Field Control with Application to Automated Demand Response - Slides Meeting 17 - October 29 13:15 in room 3418 Presentation by Björn on topics from his thesis. Meeting 18 - October 22 13:15 in room 3418 Presentation of engineering papers concerning mean-field games Alexander - Paper: Opinion dynamics, stubbornness and mean-field games - Slides Salah - Paper: Optinion dynamics, stubbornness through mean-field games Meeting 19 - November 5 13:15 in room 3418 Topic: Time inconsistent control and the paper A characterization of sub-game perfect Nash equilibria for SDEs of mean field type Meeting 20 - November 19 13:15 in room 3418 Meeting 21 - December 5 13:15 in room 3418 Topic: Ekeland's variation principle Mentioned paper: On the Variation Principle

Published by: Alexander Aurell Updated: 10-12-2015