Luiss, Roma, Dipartimento di Economia e Finanza

Viale Romania 32, Roma

Mercoledi' 16 Novembre ore 18.10 aula 106 b

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).

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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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