Dear colleagues, this email is to announce the Probability and Finance seminar of this week, "in Padova" (Zoom). Here are the details:

* Speaker: *M. MNIF* (University of Monastir, Tunisia)

* Title: *Nonzero-sum stochastic Impulse Games with an application in competitive retail energy markets*

* Date: *Friday June 4*, 2021 at 3 pm (ITA time)

* Abstract: We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. We derive the corresponding system of quasi-variational inequalities (QVIs in short). We prove, by means of the weak dynamic programming principle for the stochastic differential game, that the value function of each player is the unique viscosity solution to the associated QVIs system. We present a probabilistic numerical scheme which approximates the solution of the QVIs system and we give some numerical results.

*** Zoom link: https://unipd.zoom.us/j/85706083496

Have a nice day, Giorgia Callegaro