Stochastic control and games and the role of information (n. 2022BEMMLZ)
Type
PRIN 2022, D.D. n. 104 del 2 febbraio 2022
CUP
C53D230024300006
Principal Investigator
Tiziano De Angelis (Università degli Studi di Torino)
Other research units
UO1 - Tiziano DE ANGELIS - Università degli Studi di TORINO
UO2 - Claudio FONTANA - Università degli Studi di PADOVA
UO3 - Claudia CECI - Università degli Studi "G. d'Annunzio" CHIETI-PESCARA
UO4 - Katia COLANERI - Università degli Studi di ROMA "Tor Vergata"
Duration
28/09/2023 - 30/09/2025
Description
The project focuses on stochastic optimization problems and games with a special emphasis on the role of information and other non-standard features such as time-inconsistency, impulse controls or singular controls. In standard stochastic control and games, agents are usually assumed to have complete knowledge of the state variables and often, for mathematical tractability, of the noise driving them. When we think of applications in various social sciences (e.g., economics, finance, insurance) such an assumption is
very questionable, hence it is important to go beyond that by considering, e.g., agents having different sources of information or limited knowledge of the state variables. This creates new challenges from a theoretical as well as an applied perspective, that we want to tackle within this project. The proposal is structured into three main parts: the first one on single agent optimization problems, i.e., stochastic control; the second one on stochastic differential games for a small or a very large population of players as in mean-field games (MFGs); finally, the third part gathers applications, mainly in economics, finance and insurance, that we will explore and develop during the project.
