Time：14:00-15:45, Wednesday, April 23 2025
Venue: E10-312
Speaker：Xiaoli Wei, Harbin Institute of Technology
Biography: Xiaoli Wei is currently an associate professor at the Institute for Advanced Study in Mathematics (IASM) of Harbin Institute of Technology. Prior to this, she was an assistant professor in Tsinghua Shenzhen International Graduate School. She received her B.Sc. degree from USTC, the M.Sc. degree from Université Paris Dauphine, and the PhD degree from Université Paris Diderot (now Université Paris Cité). Her research interests include stochastic controls, game theory, and mathematical finance.
Title: From Classical Optimal Controls to Mean-Field Games and Controls
Abstract: In the first part of this talk, I will review classical optimal controls through several basic examples. I will then present two fundamental approaches for solving optimal control problems: the dynamic programming principle and the maximum principle, and explore some financial applications.
In the second part, I will discuss the mean-field approach, which originates from statistical physics and is particularly well-suited for large-scale multi-player games. I will provide an overview of the development and recent advances in mean-field games and controls.
