– Unusual schedule
Room P3.10, Mathematics Building
Stochastic differential equations (SDE) of McKean-Vlasov type or mean-field type are SDE where the solution's law appears inside the equation's coefficients making them more complicated to solve. On the other hand, such equations have been prominently applied in finance, agent dynamics and machine learning. In this mini course we offer an introduction to this framework covering wellposedness of McKean-Vlasov SDE and properties alongside the associated approximating interacting SDE particle systems and corresponding propagation of chaos.