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Mathematical Finance and Probability Seminars

A Mean Field Competition

Yuchong Zhang, Columbia University

Location:  HILL 705
Date & time: Tuesday, 24 October 2017 at 11:40AM - 12:45PM

Abstract: We introduce a mean field game with rank-based reward: competing agents optimize their effort to achieve a goal, are ranked according to their completion time, and paid a reward based on their relative rank. First, we propose a tractable Poissonian model in which we can describe the optimal effort for a given reward scheme. Second, we study the principal--agent problem of designing an optimal reward scheme. A surprising, explicit design is found to minimize the time until a given fraction of the population has reached the goal.

(Joint work with Marcel Nutz)

Location   Hill 705

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Department of Mathematics

Department of Mathematics
Rutgers University
Hill Center - Busch Campus
110 Frelinghuysen Road
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