Large Population Optimization, Stochastic Filtering and Mathematical Finance
|
Organizer(s): |
Name:
|
Affiliation:
|
Country:
|
Zhen Wu
|
Shandong University
|
Peoples Rep of China
|
Guangchen Wang
|
Shandong University
|
Peoples Rep of China
|
Shujun Wang
|
Shandong University
|
Peoples Rep of China
|
|
|
|
|
|
|
|
|
Introduction:
| | The large population systems arise naturally in various different fields (e.g., engineering, social science, economics and finance, operational research and management, etc). In recent years, the dynamic optimization or control of stochastic large population system has attracted consistent and intense attentions by research communities. One powerful technique to deal with large population problems is the so-called mean field game. It is also remarkable that, in reality the market information that the agents obtained are always incomplete or asymmetric. Stochastic filtering is an important tool to solve these problems. As a result, theories of large population, mean field game, stochastic filtering, etc, are applied to model and illustrate some practical issues, such as mathematical financial issues. The purposes of this special session are to present the frontier progress and developments, and to discuss the future directions in large population, mean field game, stochastic filtering and mathematical finance. The main topics are focused on, but are not limited to: (1) stochastic large population problems, (2) mean field game and mean field control, (3) stochastic filtering and related fields, (4) Stackelberg games, (5) Pareto games, etc. |
|
|
|
|
|
