ANR MFG  (ANR-16-CE40-0015-01)
ANR Project on Mean Field Games

Presentation

Presentation of the project


The project ANR MFG is funded by the French National Research Agency (ANR-16-CE40-0015-01). It started in October 2016 and will end in March 2021.

Mean Field Games (MFG) theory is a new and challenging mathematical topic which analyzes the dynamics of a very large number of interacting rational agents. Introduced ten years ago, the MFG models have been used in many areas such as, e.g., economics (heterogeneous agent models, growth modeling,...), finance (formation of volatility, models of bank runs,...), social sciences (crowd models, models of segregation) and engineering (data networks, energy systems...). Their importance comes from the fact that they are the simplest (``stochastic control"-type) models taking into account interactions between rational agents (thus getting beyond optimization), yet without entering into the issues of strategic interactions. MFG theory lies at the intersection of mean field theories (it studies systems with a very large number of agents), game theory, optimal control and stochastic analysis (the agents optimize a payoff in a possibly noisy setting), calculus of variations (MFG equilibria may arise as minima of suitable functionals) and partial differential equations (PDE): In the simplest cases, the value of each agent is found by solving a backward Hamilton-Jacobi equation whereas the distribution of the agents' states evolves according to a forward Fokker-Planck equation. The ``Master" equation (stated in the space of probability measures) subsumes the individual and collective behaviors. Finally, modeling, numerical analysis and scientific computing are crucial for the applications. French mathematicians play a world-leading role in the research on MFG: The terminology itself comes from a series of pioneering works by JM.Lasry and PL.Lions who introduced most of the key ideas for the mathematical analysis of MFG; the last conference on MFG was held last June in Paris and organized by Y.Achdou, P.Cardaliaguet and J-M.Lasry. As testifies the proposal, the number of researchers working on MFG in France (and also abroad) is extremely fast-growing, not only because the theoretical aspects are exciting and challenging, but also because MFG models find more and more applications. The aim of the project is to better coordinate the French mathematical research on MFG and to achieve significant progress in the theory and its applications.

Scientific topics of the project:
  • Mean field analysis
  • Analysis of the MFG systems and of the Master equation
  • Numerical analysis
  • Models and applications

Four teams are involved in the project. Members are mainly based in