Economic models and mean-field games theory

Diogo A. Gomes, Levon R. Nurbekyan and Edgard A. Pimentel

Abstract
The mean-field games theory, introduced in the works of J.-M. Lasry and P.L. Lions and M. Huang, P. Caines and R. Malhame, has become a central
research topic within the mathematical community. Applications of its ideas and
methods to problems arising in social sciences have been progressively explored
in the literature. This course presents the mean-field games formulation of
model economic problems, deriving some of their properties and establishing
rigorous results. The classes of problems to be covered are: heterogeneous agents
problems (e.g. Aiyagari-Bewley-Huggett models), economic growth, aggregate
shocks and systemic risk, and price formation models.

Prerequisites
Basic notions of Partial Differential Equations and Stochastic Analysis (at graduate level) will be assumed. Attendees may benefit from some background in
Economic Theory, though it is not required.

King Abdullah University of Science and Technology (KAUST), CEMSE Division and
KAUST SRI, Uncertainty Quantification Center in Computational Science and Engineering,
Thuwal 23955-6900. Saudi Arabia.
King Abdullah University of Science and Technology (KAUST), CEMSE Division, Thuwal
23955-6900. Saudi Arabia.
Universidade Federal do Cear
a, Campus of Pici, Bloco 914, Fortaleza, Cear
a 60.455-760,
Brazil.