Lasry, Jean-Michel
- The master equation and the convergence problem in mean field games
2015/09/08 by Cardaliaguet, Pierre, Delarue, François, Lasry, Jean-Michel +1 · 29 citations
#Analysis of PDEs (math.AP) #FOS: Mathematics
- Efficiency of the Price Formation Process in Presence of High Frequency\n Participants: a Mean Field Game analysis
2013/05/27 by Aimé Lachapelle, Lachapelle, Aimé, Jean‐Michel Lasry +5 · 3 citations
Economics, Econometrics and Finance · #Economic theories and models #Complex Systems and Time Series Analysis #Financial Markets and Investment Strategies
- A singular infinite dimensional Hamilton-Jacobi-Bellman equation arising from a storage problem
2022/10/06 by Charles Bertucci, Jean‐Michel Lasry, Bertucci, Charles +3 · 2 citations
Economics, Econometrics and Finance · Mathematics · #Analysis of PDEs (math.AP) #Economic theories and models #FOS: Mathematics #Mathematical Biology Tumor Growth #Optimization and Control (math.OC) #Stochastic processes and financial applications
- Optimal Real-Time Bidding Strategies
2015/11/26 by Fernandez-Tapia, Joaquin, Guéant, Olivier, Lasry, Jean-Michel · 1 citation
#FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Trading and Market Microstructure (q-fin.TR)
- Mean Field Game Approach to Bitcoin Mining
2020/04/17 by Bertucci, Charles, Bertucci, Louis, Lasry, Jean-Michel +1 · 1 citation
#Analysis of PDEs (math.AP) #FOS: Economics and business #FOS: Mathematics #General Finance (q-fin.GN) #Theoretical Economics (econ.TH)
- Simulating numerically the Krusell-Smith model with neural networks
2022/11/14 by Yves Achdou, Achdou, Yves, Lasry, Jean-Michel +1 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Analysis of PDEs (math.AP) #Complex Systems and Time Series Analysis #FOS: Mathematics #Theoretical and Computational Physics #stochastic dynamics and bifurcation
- On Lipschitz solutions of mean field games master equations
2023/02/10 by Charles Bertucci, Bertucci, Charles, Jean‐Michel Lasry +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Analysis of PDEs (math.AP) #Economic theories and models #FOS: Mathematics #Game Theory and Applications #Stochastic processes and financial applications