Mean Field Games with Singular Controls

Prof. Ulrich Horst

Humboldt University of Berlin

About the Speaker

Prof Horst is Professor of Applied Financial Mathematics at Humboldt University Berlin (HUB). He received his PhD in Mathematics form HUB in 2000. After his graduation he spent several years teaching in Germany and North America. Before he returned to Berlin in the summer of 2007 he was an Assistant Professor at the Department of Mathematics at the University of British Columbia in Vancouver. Ulrich Horst held visiting positions at various institutions including the Departments Economics and of Operations Research and Financial Engineering at Princeton University, the Institute for Mathematical Economics at Bielefeld University, the Center for Mathematical Modelling at the Universidad de Chile, and the CEREMADE at the Paris Dauphine University. From July 2007 to June 2011 he was Scientific Director of the Deutsche Bank sponsored Quantitative Products Laboratory, and from March to August 2015, he was a Fellow at the Center for Interdisciplinary Research (ZIF) in Bielefeld. He was the Head of HUB’s the Mathematics Department for the last five years.

About the Seminar

We establish the existence of relaxed solutions to mean field games (MFGs for short) with singular controls and prove approximations of solutions results for a particular class of MFGs with singular controls by solutions, respectively control rules, for MFGs with purely regular controls. Our existence and approximation results strongly hinge on the use of the Skorokhod M1 topology on the space of cadlag functions. The talk is based on joint work with Guanxing Fu.