Learning Resources for Stochastic Optimization and Mean Field Games

Summary

The document asks for introductory learning resources in stochastic optimization and mean field games, especially material that could prepare a reader to understand quantitative finance research. The questioner is already familiar with stochastic calculus and prefers online courses with corrected exercises, while also considering textbooks on stochastic control, jump diffusions, and dynamic programming.

The only specific course recommendation in the response is a University of Chicago summer school on mean field games. The document does not compare the listed books, identify a stochastic optimization course, or explain how the recommended summer school is structured. It therefore offers a starting point for finding instruction rather than a complete learning path, and readers would need additional information to judge whether its level and coverage fit their goals.

Key ideas

• The question concerns introductory study of stochastic optimization and mean field games in quantitative finance.
• The reader is familiar with stochastic calculus and prefers courses with corrected exercises.
• The listed books cover controlled Markov processes, jump diffusion control, and dynamic programming.
• A University of Chicago summer school on mean field games is suggested as a starting resource.

Tags

# Stochastic optimization and mean field games : textbooks


# Stochastic optimization and mean field games : textbooks












Which textbooks and online courses would you recommend to learn :

- stochastic optimization

- mean field games applied to quantitative finance.

My goal would be to read research articles like the ones written by Dr Emma Hubert I am familiar with stochastic calculus. I may prefer an online course, with corrected exercises, instead of a textbook. There are several textbooks. Which one could provide an introduction ?

Some textbooks :

- Fleming H. and M. Soner (1993). Controlled Markov processes and viscosity solutions. Springer

- Oksendal B. and A. Sulem (2006). Applied Stochastic Control Of Jump Diffusions. Springer

- Dimitri P. Bertsekas (1995). Dynamic programming and optimal control. Athena Scientific

## Answer by zestiria (score 1)

https://quant.stackexchange.com/a/65433

I answer my own question. A starting point would be : the summer school on mean field games, provided by the University of Chicago.

summer school

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