Date: Tuesday,  1st March 2022
Time: 16:00-17:00  (Time in Rome)
Where: Aula Dal Passo  (+ Streaming via Microsoft Teams, see link below)

Speaker: Pierre Cardaliaguet (Université Paris Dauphine)

Title:  On the convergence rate for the optimal control of McKean-Vlasov dynamics

Abstract:  In this talk I will report on a joint work with S. Daudin (Paris Dauphine), Joe Jackson (U. Texas) and P. Souganidis (U. Chicago). We are interested in  the convergence problem for the optimal control of McKean-Vlasov dynamics, also known as mean field control. We establish an algebraic rate of convergence of the value functions of N-particle stochastic control problems towards the value function of the corresponding McKean-Vlasov problem. This convergence rate is established in the presence of both idiosyncratic and common noise, and in a setting where the value function for the McKean-Vlasov problem need not be smooth. Our approach relies crucially on Lipschitz and semi-concavity estimates, uniform in N, for the N-particle value functions, as well as a certain concentration inequality.

Note: This talk is part of the activity of the MIUR Department of Excellence Project MATH@TOV CUP E83C18000100006

MS Teams Link for the streaming:
https://teams.microsoft.com/l/meetup-join/19%3a7f273a2aff1145dfae91372d186b1cd9%40thread.tacv2/1645553134652?context=%7b%22Tid%22%3a%2224c5be2a-d764-40c5-9975-82d08ae47d0e%22%2c%22Oid%22%3a%22d37d6fea-2e4d-4c35-88e4-99bf4cf68fe9%22%7d
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