René Carmona, the Paul Wythes ’55 Professor of Engineering and Finance, Department of Operations Research and Financial Engineering, Princeton University, will give the 2018 Karl Menger Lecture on Monday, March 26 at 6 p.m. in Hermann Hall Ballroom. Carmona will speak on “Mean Field Games: Mathematical Theory and Applications.”
The lecture is part of two days of events to celebrate Karl Menger, a leading mathematician of the 20th century who taught at Illinois Tech from 1946–71. Read more about Menger here. Sponsors include the Department of Applied Mathematics, the Menger family, Illinois Tech, and the Menger Fund.
“This is a very special event for the Department of Applied Mathematics and IIT,” said Chun Liu, professor and chair of applied mathematics. “Our Master of Mathematical Finance program is nationally ranked, and Carmona’s visit is a testament to both the quality of that program and the field’s general regard for our work. I encourage everyone to come and hear this most distinguished speaker.”
Mean field game theory is relatively new and is used to describe multi-agent dynamic systems – such as birds flocking, congestion for crowd motion, and bee swarming. Carmona will introduce the mean field game paradigm, presenting the underpinnings of the original analytic approach based on partial differential equations, and the probabilistic approach based on forward-backward stochastic differential equations. Then, he will illustrate the theory with the results of numerical implementations of a mean field game model for the synchronization of circadian rhythms and a mathematical model for jet lag recovery.
Carmona is a fellow of the Institute of Mathematical Statistics and of the Society for Industrial and Applied Mathematics. He has written more than 100 articles and seven books in the areas of probability, statistics and financial mathematics.
Carmona is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering and founding editor of the Electronic Journal & Communications in Probability and the SIAM Journal on Financial Mathematics. He also is on the editorial board of several peer-reviewed journals and book series and on the scientific board of several institutes, including the Oxford Man Institute.
At Princeton, Carmona is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and Director of Graduate Studies of the Bendheim Center for Finance, where he oversees the Master in Finance program.
Following the lecture, at 7 p.m., the Department of Applied Mathematics will present the Karl Menger Student Awards for exceptional scholarship and recognize poster exhibit participants. At 7:15 p.m., the department will hold a reception and alumni networking event in the Hermann Hall Ballroom Lobby.