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DE ANGELIS Tiziano (The University of Leeds) – “Dynkin Games with Incomplete and Asymmetric “

November 5, 3:30 pm - 4:30 pm

1st Monday of each month

Time: 3:30 pm – 4:30 pm
Date: 05 th of November 2018
Place: Room 3105

DE ANGELIS Tiziano (The University of Leeds) – “Dynkin Games with Incomplete and Asymmetric ”

Abstract : We study Nash equilibria for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our set-up, the drift of the underlying diffusion process is unknown to one player (incomplete information feature), but known to the other one (asymmetric information feature). We formulate the problem and reduce it to a fully Markovian setup where the uninformed player optimises over stopping times and the informed one uses randomised stopping times (in order to hide their informational advantage). Then we provide a general verification result which allows us to find Nash equilibria by solving suitable quasi-variational inequalities with some non-standard constraints. Finally, we solve explicitly an example with linear payoffs with applications to short selling of stocks.

Joint work : Erick Ekstrom (Uppsala) and Kristoffer Glover (Sidney)

 

 

Details

Date:
November 5
Time:
3:30 pm - 4:30 pm
Event Categories:
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Organizers

Caroline HILLAIRET
Peter TANKOV