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Talk: Rene Carmona

The Probabilistic Approach to Mean Field Games


Princeton University


Lecture 1. Introduction to game theory, notion of Nash equilibrium, Price of Anarchy and Braess paradox. Large games, anonymous games, and games with mean field interactions. Stochastic Differential Games, information structures, and open and close loop equilibria. Motivating applications.

Lecture 2. The Pontryagin stochastic maximum principle and the role of Backward Stochastic Differential Equations (BSDEs) in stochastic control and stochastic games. The Mean Field Game (MFG) paradigm and its Mean Field Control (MFC) counterpart. Review of the current actively investigated challenges.