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Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

16 novembre 2016 ore 18:10 - 19:10

Aula 106b, Sede di Viale Romania, 32

Speaker: Giorgio Ferrari, Universitat Bielefeld

ABSTRACT: In this talk I present a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain 2-player nonzero-sum games of singular control. I show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games. An application to a problem of pollution control is finally discussed. The talk is based on a joint work with Tiziano De Angelis (The University of Leeds).

Link al paper -  https://arxiv.org/abs/1508.03989