Backward propagation of chaos and large population games asymptotics
- Date: Thursday 25 February 2021, 14:00 – 15:00
- Location: Online event
- Type: Probability and Financial Mathematics, Seminars, Statistics
- Cost: Free
This seminar is given by Dr. Ludovic TANGPI (Princeton University)
In this talk we will present a generalization of the theory of propagation of chaos to backward (weakly) interacting diffusions. The focus will be on cases allowing for explicit convergence rates and concentration inequalities in Wasserstein distance for the empirical measures. As the main application, we derive results on the convergence of large population stochastic differential games to mean field games, both in the Markovian and the non-Markovian cases.
The talk is based on joint works with M. Laurière and Dylan Possamaï.
If you are interested to join this talk, please contact Dr Miryana Grigorova at firstname.lastname@example.org for the Zoom details.