Special issue dedicated to the 2011 Humboldt-Princeton Workshop on mathematical finance

摘要

The 3rd Humboldt-Princeton Workshop was held in Berlin on October 28-29th, 2011, bringing together Mathematicians, Economists and Statisticians for a lively and stimulating meeting. The four papers in this special issue reflect some of the diversity and interesting problems presented and discussed at the workshop. The first paper, by Rene Carmona and Francois Delarue, analyzes the connections between Mean Field Games and the McKean-Vlasov equation, motivated by application to cap-and-trade models for greenhouse gas emissions, and using techniques of backward stochastic differential equations.