SDEs and MFGs towards Machine Learning applications

We present results that span three interconnected domains. Initially, our analysis is centred on Backward Stochastic Differential Equations (BSDEs) featuring time-delayed generators. Subsequently, we direct our interest towards Mean Field Games (MFGs) incorporating absorption aspects, with a focus on the corresponding Master Equation within a confined domain under the imposition of Dirichlet boundary conditions. The investigation culminates in exploring pertinent Machine Learning methodologies applied to financial and economic decision-making processes.

Grantor dc:publisher

Università degli studi di Trento

Year dc:date

2023

Author dc:creator

• Garbelli, Matteo

Contributors dc:contributor

• Di Persio, Luca

• Stochastic Analysis, Backward Stochastic Differential Equations, Stochastic Differential Equations, BSDE, Mean Field Games, MFG, Master Equation, Machine Learning
• Settore MAT/06 - Probabilita' e Statistica Matematica

Statement dc:rights

• info:eu-repo/semantics/openAccess
• license:Tutti i diritti riservati (All rights reserved)
• license uri:iris.PRI01

Language dc:language

eng

Identifier

http://dx.doi.org/10.15168/11572_398234
10.15168/11572_398234

OAI identifier oai:identifier

oai:iris.unitn.it:11572/398234