TITLE: Introduction to Mean field games
SPEAKER: Wei Yang (Mathematics & Statistics, University of Strathclyde)
ABSTRACT:
We give an introduction to the mean field game (MFG) theory. Mean field games were introduced around 2006 in the papers by J.M. Lasry and P. L. Lions in France and by M. Huang, R.P. Malhame and P. Cains in Canada. Since then, there has been a fast growing literature on its further theoretical developments, applications and numerical solutions, etc.
Roughly speaking, the MFG method deals with problems with large number interacting agents. Since the complexity of their analysis can become immense, the MFG method suggests to study corresponding tractable limiting problems as the number of the agents tends to infinity. Under certain general conditions, solutions can be found to the limiting problems. Then one can use a solution to the limiting problem to approximate the one to the original problem, namely, a solution to the limiting problem is an e-equilibrium of the original problem.