Seminario di Giorgio Ferrari (Universitat Bielefeld)
TITLE: Stochastic nonzero-sum games: a new connection between
singular control and optimal stopping
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).
Tutti gli interessati sono invitati a
partecipare.
Per qualsiasi richiesta di informazione scrivere a
faustogozziluiss@gmail.com
Fausto Gozzi
Fausto Gozzi
Dipartimento di Economia e Finanza
LUISS - Guido Carli Viale Romania, 32
00197 Roma
Italy
tel 06.85225723 (office)
FAX 06.86506513
e-mail: fgozzi@luiss.it
webpage:
http://docenti.luiss.it/gozzi/
old addresses:
Fausto Gozzi
Dipartimento di Matematica per le Decisioni
Economiche Finanziarie e Assicurative
Facolta' di Economia
Universita' di Roma La Sapienza
via del Castro Laurenziano 9
00161 Roma
Italy
tel 06/49766275 (office)
FAX 06/49766765
and also
Fausto Gozzi
Dipartimento di Matematica
Universita' di Pisa
via Filippo Buonarroti n. 2
56127 Pisa
Italy
tel 050/2213270
FAX 050/2213224
e-mail: GOZZI@DM.UNIPI.IT
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