Séminaire

Large population stochastic control: analysis and numerical solution of the master equation

Jean François Chassagneux (Université Denis Diderot)

20 octobre 2016, 09h30–10h45

Toulouse

Salle MS 001

MAD-Stat. Seminar

Résumé

In this talk, I will first describe some problems in large population stochastic control (e.g. Mean-Field Games). The solution to these problems are characterised by a master equation, as observed by Lasry-Lions, which is a PDE written on the Wasserstein space of probability measures. I will then recall the probabilistic representation of its solution in term of a (fully coupled) FBSDE with McKean-Vlasov interaction. Finally, I will introduce a scheme for this class of BSDEs and demonstrate its convergence both theoretically and practically. This is a joint work with D. Crisan and F. Delarue.

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