Fridays, 15:00-17:00, HG G 26.3
Tentative seminar outline and seminar announcement in the course catalog.
Detailed prerequisites for each talk are given in the seminar outline. Student should have a firm understanding of stochastic calculus (e.g. from the lecture Brownian motion and stochastic calculus), as well as probability theory. A basic understanding of PDE theory may be helpful. Students with a background in PDE but only basic stochastic analysis knowledge are warmly welcome to give a talk from a more analytic perspective!
Student should be at a sufficiently advanced level to present selected topics from research papers and books. The seminar will take an intermediate form, somewhere between a student seminar and a graduate reading course. As such, participants should be motivated to prepare a presentation based on research articles, but also willing to consult more senior participants for feedback and help if needed. Roughly the first half of the planned talks is suitable for masters students with a firm understanding of the probabilistic and analytic techniques, the remaining talks will be given by more advanced participants. Please also consult the details in the course catalog.A tentative list of topics is listed in the seminar outline. Once the outline has been fixed and the talks distributed they will be posted below. Feel free to contact the organizers if you want to give a talk.
Lecture summaries will be perpetually updated over the course of the seminar. They may still be preliminary and contain typos. Summaries of all the lectures in a single PDF file.# | Topic | Date | Speaker | Lecture Summary |
---|---|---|---|---|
0 | Seminar overview | Fri. 21.02. | Robert Crowell | Mean-field games - overview and motivation |
1 | Stochastic control primer (1) | Fri. 28.02 | Skander Stephan | Stochastic control problem |
2 | Stochastic control primer (2) | Fri. 06.03 | Philippe von Wurstemberger | Weak formulation and BSDE |
3a | Games and Nash-equilibria | Fri. 13.03 (1) | Dmitri Ganjour | Games and Nash equilibrium |
3b | Stochastic differential games | Fri. 13.03 (2) | Pontus Westermark | Nash equilibrium in stochastic differential games |
4 | McKean-Vlasov SDEs | Fri. 20.03 | Milo Grillo | SDEs of McKean-Vlasov Type |
5 | Mean-field formulation and examples | Fri. 27.03 | canceled | |
6 | MFG probabilistic view (1) | Fri. 03.04 | canceled | |
7 | MFG probabilistic view (2) | Fri. 24.04 | canceled | |
8 | MFG probabilistic view (3) | Fri. 08.05 | canceled | |
9 | Large population games without symmetry | Fri. 15.05 | canceled | |
10 | Applications | Fri. 22.05 | canceled | |
11 | Applications | Fri. 29.05 | canceled |