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UID:20250725T172928EDT-7536FNPILu@132.216.98.100
DTSTAMP:20250725T212928Z
DESCRIPTION:Virtual Informal Systems Seminar (VISS)\, Centre for Intelligen
 t Machines (CIM) and Groupe d'Etudes et de Recherche en Analyse des Decisi
 ons (GERAD)\n	\n	Zoom Link\n	Meeting ID: 910 7928 6959\n	Passcode: VISS\n\nSpe
 aker: Dena Firoozi\, Assistant Professor\, Department of Decision Sciences
 \, HEC Montréal\n	\n	Abstract:\n	Mean field game systems consisting of a majo
 r agent and a large population of minor agents were introduced in (Huang\,
  2010) in an LQG setup. In the past years several approaches towards major
 -minor mean field games have been developed\, principally (i) the Nash cer
 tainty equivalence (Huang\, 2010)\, (ii) master equations\, (iii) asymptot
 ic solvability\, and (iv) the probabilistic approach. In a recent work (Hu
 ang\, 2020)\, for the LQG case the equivalence of the solutions obtained v
 ia approaches (i)-(iii) was established. In this talk we first review appr
 oaches (i) and (iv). We then demonstrate that the closed-loop Nash equilib
 rium derived in the infinite-population limit through (i) and (iv) are ide
 ntical.\n		\n		Biography:\n\n	Dena Firoozi is an Assistant Professor in the Dep
 artment of Decision Sciences at HEC Montréal (business school of Universit
 y of Montreal). Before joining HEC Montréal\, she was a postdoctoral fello
 w in the mathematical finance program of the Department of Statistical Sci
 ences at the University of Toronto\, Canada\, between 2018-2020. She was a
 lso a PhD exchange student in the same program during Fall 2017. She recei
 ved her Ph.D. degree in electrical engineering\, systems & control special
 ization\, from 51³Ô¹ÏÍø\, Canada\, in 2019. Dena's research inter
 ests are in mean field games\, stochastic control\, estimation theory\, an
 d their applications in financial and energy markets.\n\n
DTSTART:20210129T190000Z
DTEND:20210129T200000Z
LOCATION:CA\, ZOOM
SUMMARY:LQG Mean Field Games with a Major Agent: Nash Certainty Equivalence
  versus Probabilistic Approach
URL:/cim/channels/event/lqg-mean-field-games-major-age
 nt-nash-certainty-equivalence-versus-probabilistic-approach-327951
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