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Mean field games with absorption and common noise with a model of bank run
Presenter
- Luciano Campi
December 7, 2021
IMSI
Inverting the Markovian projection, and local stochastic volatility models
Presenter
- Daniel Lacker
December 7, 2021
IMSI
Portfolio Liquidation with Self-Exciting Order Flow - From Single Player Models to Mean-Field Games
Presenter
- Ulrich Horst
December 6, 2021
IMSI
Large population games in the weak formulation and their mean field game limits
Presenter
- Ludovic Tangpi
December 6, 2021
IMSI
Stability of entropic optimal transport and convergence of Sinkhorn’s algorithm
Presenter
- Marcel Nutz
December 6, 2021
IMSI
Stochastic optimal control, free boundaries, and neural networks
Presenter
- Max Reppen
December 6, 2021
IMSI
Interbank Lending with Benchmark Rates: A Singular Control Game
Presenter
- Xin Guo
December 6, 2021
IMSI