*Seminario di Finanza Quantitativa e di Probabilità*

Martedì 17 dicembre 2019

ore 11:30

Scuola Normale Superiore

Pisa

Aula Bianchi Scienze

*Luciano Campi*

(LSE)

Terrà un seminario dal titolo:

*“Correlated equilibria and mean field games”*

*Abstract:*

Mean field games are limit models for symmetric N-player games, as N tends to infinity, where the pre-limit models are solved in terms of Nash equilibria. A generalization of the notion of Nash equilibrium, due to Robert Aumann (1973, 1987), is that of a correlated equilibrium. Here, we discuss, in a simple non-static setting, the mean field game limit for correlated equilibria. We give a definition of correlated mean field game solution, prove that it arises as limit of N-player correlated equilibria in restricted (”open-loop”) Markov feedback strategies, and show how to construct approximate N-player equilibria starting from a correlated mean field game solution. We also compare our definition to the one by Lacker (2018) of weak solutions for mean field games without a common noise.

(Joint work with Markus Fischer, Padova University)

Tutti gli interessati sono invitati a partecipare.

Classe di Scienze

Valeria Giuliani Scuola Normale Superiore Servizio alla Didattica e Allievi tel. 050 509260 Piazza dei Cavalieri, 7 56126 Pisa E-mail: valeria.giuliani@sns.it E-mail: classi@sns.it