Project Details
Projekt
Rough analysis and mean field games (B04)
Subject Area
Mathematics
Term
since 2024
Project identifier
Deutsche Forschungsgemeinschaft (DFG) - Project number 516748464
This project analyzes new finite player games and mean field games (MFGs) with singular controls and common noise driven rough paths. We aim to establish new existence of equilibrium results for both finite and infinite player games and study the stability of equilibria with respect to common noise processes using rough path techniques. The project will also introduce signature-based methods for approximating extended MFGs with common noise and develop new solution techniques for forward-backward rough stochastic differential equations and quadratic mean-field BSDEs. Applications include new models of portfolio optimization with rough volatility and market impact, and extending the analysis to games with singular controls.
DFG Programme
CRC/Transregios
Applicant Institution
Technische Universität Berlin
Project Heads
Professor Dr. Peter Karl Friz; Professor Dr. Ulrich Horst
