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Financial Mathematics Seminar: Jean-Perre Fouque, University of California, Santa Barbara, Reinforcement Learning Algorithm for Mixed Mean Field Control Games
Financial Mathematics Seminar: Jean-Perre Fouque, University of California, Santa Barbara, Reinforcement Learning Algorithm for Mixed Mean Field Control Games
We present a new combined Mean Field Control Game (MFCG) problem which can be interpreted as a competitive game between collaborating groups and its solution as a Nash equilibrium between the groups. Within each group the players coordinate their strategies. An example of such a situation is a modification of the classical trader's problem. Groups…