About Me

I'm an NSF postdoctoral fellow in the Division of Applied Mathematics at Brown University, working with Kavita Ramanan. In 2017 I will join the Department of Industrial Engineering and Operations Research (IEOR) at Columbia University as an Assistant Professor. I completed my Ph.D. in 2015 at Princeton University under the supervision of René Carmona, in the department of Operations Research and Financial Engineering (ORFE). My research so far has focused on mean field games, risk measures, and large deviations, but I'm interested in many areas of applied probability, stochastic analysis, and financial mathematics. Click here for a complete CV.

Publications and Preprints

  • Mean field and n-agent games for optimal investment under relative performance criteria
    With Thaleia Zariphopoulou. Preprint. [arXiv]
  • Rare Nash equilibria and the price of anarchy in large static games
    With Kavita Ramanan. Preprint. [arXiv]
  • Limit theory for controlled McKean-Vlasov dynamics
    To appear in SIAM Journal on Control and Optimization. [arXiv]
  • A non-exponential extension of Sanov's theorem via convex duality
    Preprint. [arXiv]
  • Mean field games of timing and models for bank runs
    With René Carmona and François Delarue. To appear in Applied Mathematics & Optimization. [arXiv]
  • Liquidity, risk measures, and concentration of measure
    To appear in Mathematics of Operations Research. [arXiv]
  • Law invariant risk measures and information divergences
    Preprint. [arXiv]
  • Translation invariant mean field games with common noise
    With Kevin Webster. Electronic Communications in Probability. [arXiv, DOI]
  • A general characterization of the mean field limit for stochastic differential games
    Probability Theory and Related Fields. [arXiv, DOI]
    Winner of the 2014 SIAG/FME Conference Paper Prize.
  • Mean field games with common noise
    With René Carmona and François Delarue. Annals of Probability. [arXiv, DOI]
  • Mean field games via controlled martingale problems: Existence of Markovian equilibria
    Stochastic Processes and their Applications. [arXiv, DOI]
  • A probabilistic weak formulation of mean field games and applications
    With René Carmona. Annals of Applied Probability. [arXiv, DOI]
  • Stochastic differential mean field game theory
    My PhD Thesis. [PDF]
  • Contact

    Division of Applied Mathematics
    182 George St, Room 310
    daniel_lacker (at) brown (dot) edu

    Last updated: March, 2017.