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math.AP2022
Simulating numerically the Krusell-Smith model with neural networks
Yves Achdou, Jean-Michel Lasry, Pierre Louis Lions
The celebrated Krusel-Smith growth model is an important example of a Mean Field Game with a common noise. The Mean Field Game is encoded in the master equation, a partial differen…
math.AP2022
A singular infinite dimensional Hamilton-Jacobi-Bellman equation arising from a storage problem
Charles Bertucci, Jean-Michel Lasry, Pierre Louis Lions
In the first part of this paper, we derive an infinite dimensional partial differential equation which describes an economic equilibrium in a model of storage which includes an inf…