Special Topics in Financial Mathematics:

Fall 2018, PSTAT 262FM

Probabilistic Theory of Mean Field Games with Applications

Prerequisites:

PSTAT 223A Stochastic Calculus

TEXT:
Rene Carmona and Francois Delarue
Probabilistic Theory of Mean Field Games with Applications I


Springer Probability Theory and Stochastic Modelling Series, 2018.

Friday 10:00 -- 11:50 - South Hall 5607F

Jean-Pierre Fouque

Office: South Hall 5504
fouque at pstat.ucsb.edu

September 28:

Chapter 1

October 5:

Presentation of examples from Chapter 1 and Chapter 2 Section 2.1.

October 12:

Chapter 2.

October 19:

Chapter 3.

October 26:

Chapter 3 (continued).

November 2:

Chapter 4 (start).

November 9:

More on Chapter 4 and Chapter 5 (start).

November 16:

No class (WCMF at USC).

November 23:

No Class. Thanksgiving.

November 30:

Master equation.

December 7:

Master equation continued. Common noise.