Mean field stochastic control problems and related topics
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Organizer(s): |
Name:
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Affiliation:
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Country:
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Juan Li
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Shandong University
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Peoples Rep of China
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Rainer Buckdahn
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Univ Brest
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France
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Introduction:
| | Mean-field (or, McKean-Vlasov) SDEs have been studied for a long time and have found a lot of applications in different domains. Roughly speaking, in a more general sense, mean-field problems study strategic decision making by small interacting agents in very large populations, modeled by equations not only depending on the controlled state process and its control but also on their law. Recently, with their pioneering seminal papers (2006-2007) on mean-field games and their applications in economics, finance and game theory, Lasry and Lions have given with a ground-breaking novel approach new impulses to this research topic, opened the way to new applications and attracted many researchers to this topic. One of these applications is the study of mean-field stochastic optimal control problems and mean-field games. Our symposium will mainly be devoted to optimal control problems for mean-field forward-backward stochastic differential equations.
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