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UID:20260915T003534EDT-0367lZjM0i@132.216.98.100
DTSTAMP:20260915T043534Z
DESCRIPTION:Speaker: Roxana Dimitrescu\, Associate Professor\, King's Colle
 ge London\n\n \n\nAbstract: In this talk\, we present recent results on th
 e linear programming approach to stopping mean-field games in a general se
 tting. This relaxed control approach allows to prove existence results und
 er weak assumptions\, and lends itself well to numerical implementation. W
 e consider mean-field game problems where the representative agent chooses
  the optimal time to exit the game\, where the instantaneous reward functi
 on and the coefficients of the state process may depend on the distributio
 n of the other agents. Furthermore\, we establish the equivalence between 
 mean-field games equilibria obtained by the linear programming approach an
 d the ones obtained via other approaches used in the previous literature. 
 We then present a fictious play algorithm to approximate the mean-field ga
 me population dynamics in the context of the linear programming approach. 
 Finally\, we give an application of the theoretical and numerical contribu
 tions introduced in the first part of the talk to an entry-exit game in el
 ectricity markets. The talk is based on several works\, joint with R. Aïd\
 , G. Bouveret\, M. Leutscher and P. Tankov.\n\n \n\n \n\nBiography: Roxana
  Dumitrescu is an associate professor at King's College London\, United Ki
 ngdom. She is a leading expert in stochastic control and mean-field games\
 , with publications in leading journals in the field. She has been recentl
 y working on optimal stopping mean-field games\, a new trend in the litera
 ture\, and developed together with several co-authors a new approach to so
 lve them based on a linear-programming formulation.\n\nPrior to the appoin
 tment at King's College\, she has been an associate researcher in the Math
 ematics Department at Humboldt University in Berlin and a member of the re
 search training group 'Stochastic Analysis with Applications in Finance\, 
 Physics and Biology' (2015-2016). She defended her PhD in Mathematics at U
 niversity Dauphine\, in Paris (2015). During her PhD studies\, she was a r
 esearcher in the Financial Mathematics Group at the National French Instit
 ute for Research in Computer Science and Automatics Control\, INRIA\, Fran
 ce.\n
DTSTART:20221111T180000Z
DTEND:20221111T190000Z
LOCATION:CA\, ZOOM
SUMMARY:Optimal stopping mean-field games: a linear programming formulation
  and applications to entry-exit games in electricity markets
URL:https://www.mcgill.ca/cim/channels/event/optimal-stopping-mean-field-ga
 mes-linear-programming-formulation-and-applications-entry-exit-games-35183
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