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UID:20250802T122740EDT-6903ZUXOcw@132.216.98.100
DTSTAMP:20250802T162740Z
DESCRIPTION:Title: Optimal stopping mean-field games: a linear programming 
 formulation and applications to enty-exit games in electricity markets.\n
 \nAbstract:In this talk\, we present recent results on the linear programm
 ing approach to stopping mean-field games in a general setting. This relax
 ed control approach allows to prove existence results under weak assumptio
 ns\, and lends itself well to numerical implementation. We consider mean-f
 ield game problems where the representative agent chooses the optimal time
  to exit the game\, where the instantaneous reward function and the coeffi
 cients of the state process may depend on the distribution of the other ag
 ents. Furthermore\, we establish the equivalence between mean-field games 
 equilibria obtained by the linear programming approach and the ones obtain
 ed via other approaches used in the previous literature. We then present a
  fictious play algorithm to approximate the mean-field game population dyn
 amics in the context of the linear programming approach. Finally\, we give
  an application of the theoretical and numerical contributions introduced 
 in the first part of the talk to an entry-exit game in electricity markets
 . The talk is based on several works\, joint with R. Aïd\, G. Bouveret\, M
 . Leutscher and P. Tankov.\n\nZoom seminar\n
DTSTART:20221111T150000Z
DTEND:20221111T160000Z
SUMMARY:Roxana Dimitrescu (King's College London)
URL:/mathstat/channels/event/roxana-dimitrescu-kings-c
 ollege-london-343177
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