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UID:20260621T214715EDT-6555sHoWcH@132.216.98.100
DTSTAMP:20260622T014715Z
DESCRIPTION:SIAM Activity Group on FME Virtual Talk Series\n\n \n\nSpeaker:
  Dena Firoozi\, Department of Decision Sciences\, HEC Montréal\n\n \n\n\n	A
 bstract: Motivated by optimal execution in electronic markets where comple
 te market information is not available to traders\, we present partially o
 bserved LQG mean field games (MFG) consisting of one major agent and a lar
 ge population of minor agents. We consider the case where the major agent 
 has partial observations of its own state\, and each minor agent has parti
 al observations of its own state and the major agent's state. The assumpti
 on of partial observations by all agents leads to a new situation involvin
 g second-order beliefs (estimates of estimates). This is one of the rare e
 xamples of a partially observed game which has a terminating belief of bel
 ief recursion. Time permitting\, we present an ϵ -Nash equilibrium result 
 for completely observed LQG MFGs with two major agents\, and discuss the p
 artial information patterns yielding tractable solutions.\n\n	This is joint
  work with Peter E. Caines.\n\n	Registration link\n\n
DTSTART:20201210T060000Z
DTEND:20201210T070000Z
LOCATION:CA\, ZOOM
SUMMARY:Belief Estimation by Agents in Major-Minor LQG Mean Field Games
URL:/cim/channels/event/belief-estimation-agents-major
 -minor-lqg-mean-field-games-326953
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