Tuesday, April 14, 2015 - 3:05pm
1 hour (actually 50 minutes)
We consider some recent models from stochastic or optimal control involving a very large number of agents. The goal is to derive mean field limits when the number of agents increases to infinity. This presents some new unique difficulties; the corresponding master equation is a non linear Hamilton-Jacobi equation for instance instead of the linear transport equations that are more typical in the usual mean field limits. We can nevertheless pass to the limit by looking at the problem from an optimization point of view and by using an appropriate kinetic formulation. This is a joint work with S. Mischler, E. Sere, D. Talay.