Currently Research Fellow at Nanyang Technological University, Singapore.

PhD degree from Université Paris-Cité, France, under the supervision of Prof. Huyen
Pham and Prof. Noufel Frikha.

Challenges for problems in mean-field setting

In this presentation, I will show my previous work about how to deal with the
challenges for problems in mean-field setting. One of the biggest challenges lies in
the bad properties of the Wasserstein space. For example, it is infinite dimension
and it is only a Polish metric space, without any computation properties as Hilbert
space. I will present how the challenges can be overcome in some specific
problems. One is about solving mean-field control problem in continuous time via
reinforcement learning method. Another is about numerically solving mean-field
McKean-Vlasov SDE via Euler-Maruyama Scheme. I will show the theoretical results
we obtained. At the end, I show the future work.