BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//University of California\, Berkeley//UCB Events Calendar//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VTIMEZONE
TZID:America/Los_Angeles
BEGIN:STANDARD
TZOFFSETFROM:-0700
TZOFFSETTO:-0800
DTSTART:19701029T020000
RRULE:FREQ=YEARLY;BYMONTH=11;BYDAY=1SU
END:STANDARD
BEGIN:DAYLIGHT
DTSTART:19700402T020000
TZOFFSETFROM:-0800
TZOFFSETTO:-0700
RRULE:FREQ=YEARLY;BYMONTH=3;BYDAY=2SU
END:DAYLIGHT
END:VTIMEZONE
BEGIN:VEVENT
DTSTAMP:20190130T174854Z
DTSTART;TZID=America/Los_Angeles:20190211T140000
DTEND;TZID=America/Los_Angeles:20190211T150000
TRANSP:OPAQUE
SUMMARY:Daniel Lacker - Beyond Mean Field Limits: Local Dynamics For Large Sparse Networks Of Interacting Diffusions
UID:123363-ucb-events-calendar@berkeley.edu
ORGANIZER;CN="UC Berkeley Calendar Network":
LOCATION:1174 Etcheverry Hall
DESCRIPTION:Daniel Lacker\, Columbia University\n\nAbstract: We study large systems of stochastic processes (particles) in which each particle is associated with a vertex in a graph and interacts only with its neighbors. When the graph is complete and the numbers of particles grows to infinity\, the system is well-described by a McKean-Vlasov equation\, which describes the behavior of one typical particle. For general (sparse) graphs\, the system is no longer exchangeable\, and the mean field approximation is not valid. Nevertheless\, if the underlying graph is locally tree-like\, we show that a single particle and its nearest neighbors are characterized by a peculiar but autonomous set of "local dynamics." This work is motivated in part by recent mean field models of inter-bank lending\, which capture several dynamic features of systemic risk but thus far lack realistic network structure. Joint work with Kavita Ramanan and Ruoyu Wu.\n\nBio: Daniel Lacker is an assistant professor in Industrial Engineering and Operations Research (IEOR) at Columbia University. From 2015-2017 he was an NSF postdoctoral fellow in Applied Mathematics at Brown University\, and before that he completed his Ph.D. in 2015 at Princeton University in the department of Operations Research and Financial Engineering (ORFE). So far his research has focused largely on the theory and applications of mean field games\, where the areas of interacting particle systems\, stochastic control\, and game theory intersect. More broadly\, he is interested in many topics in probability and mathematical finance.
URL:http://events.berkeley.edu/index.php/calendar/sn/pubaff.html?event_ID=123363&view=preview
SEQUENCE:0
CLASS:PUBLIC
CREATED:20190130T174854Z
LAST-MODIFIED:20190131T191254Z
X-MICROSOFT-CDO-BUSYSTATUS:BUSY
X-MICROSOFT-CDO-INSTTYPE:0
X-MICROSOFT-CDO-IMPORTANCE:1
X-MICROSOFT-CDO-OWNERAPPTID:-1
END:VEVENT
END:VCALENDAR