Buongiorno a tutti,

Vorremmo segnalarvi che venerdì prossimo (18 Ottobre) alle ore 14:30 in aula 2BC30 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di:

Andrea Bovo (Università di Torino) https://sites.google.com/view/andreabovo

Title: An overview on recent results on Stopper vs. Singular-controller games

Date: October 18, 2024, at 14:30, 2BC30

Abstract: We study various formulations of zero-sum games between a singular-controller and a stopper over finite-time horizon in which the underlying process is a multi-dimensional controlled stochastic differential equation evolving in an unbounded domain. We prove that such games admit a value and provide an optimal strategy for the stopper. In some cases we show that the value of the game is the maximal solution, in a suitable Sobolev class, of a variational inequality of ‘min-max’ type with obstacle constraint and gradient constraint. Under stricter assumptions, we provide an optimal strategy for the controller and we obtain a connection between the space derivative of the value function and the solution of an optimal stopping problem with absorption.

Vi aspettiamo numerosi!

Alberto Chiarini e Alekos Cecchin

Sito web del seminario: https://www.math.unipd.it/~chiarini/seminars/