About the Project Mean field game is an approximation for stochastic games with many players.The results that they obtained will be applied to the investigation of systemic risk in limit order books and global energy markets, both of which have large number of players. The analytical tools used in…

About the Project Convex composite conic optimization problems have found widespread applications in a wide variety of domains such as operations research (e.g. relaxation of combinatorial and polynomial optimization problems), machine learning (e.g. classification, clustering, completion), statistics (e.g. regression, covariance estimation, graphical model, compressed sensing), and engineering (e.g. optimal…