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Seminario di Probabilità e Finanza Matematica: Stopping games for continuous time Markov chains with incomplete information

Martedì 28 Ottobre 2014, ore 12:00 - Aula 2BC30 Sala Riunioni VII piano - Christine Grün

ARGOMENTI: Seminari

Seminario di Probabilità e Finanza Matematica

Martedì 28 ottobre 2014 alle ore 12:00 in aula 2BC30 Sala Riunioni VII piano, la Prof.ssa Christine Grün (Università di Toulouse 1 Capitole) terrà un seminario dal titolo "Stopping games for continuous time Markov chains with incomplete information".

Abstract
We study a model of a two-player, zero-sum, stopping game with incomplete information on both sides. We assume that the payoff depends on two continuous-time Markov chains (X_t),(Y_t) where (X_t) is only observed by player 1 and (Y_t) only by player 2. We show the existence of a value by PDE methods. In the case of incomplete information on one side we establish a different characterisation of the value by a stochastic optimisation problem which allows to determine optimal strategies for the informed player.

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