Title	A tale of a Principal and many Agents
Creator	Possamai, Dylan
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2016-05-25T15:52
Description	In this talk, I will present ongoing work on a problem of moral hazard involving a Principal and a system of interacting Agents whose actions are summed up in a mean-field game. This is a new problem in the literature, and our main current result is that the problem of the Principal can always be rewritten as stochastic control problem of a system of McKean-Vlasov SDEs, for which we can derive explicit solutions in specific instances. (This joint work with Romuald Elie and Thibaut Mastrolia.)
Extent	30 minutes
Subject	Mathematics; Game theory, economics, social and behavioral sciences; Probability theory and stochastic processes
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: Université Paris Dauphine
Series	BIRS Workshop Lecture Videos (Oaxaca de Juárez (Mexico))
Date Available	2017-02-07
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0339926
URI	http://hdl.handle.net/2429/59799
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

Open Collections

BIRS Workshop Lecture Videos