Seminario: 20 Settembre 2016 - Giorgio Ferrari
Martedì 20 Settembre ore 13:00 presso l'aula di Matematica (Sapienza Università di Roma, Dipartimento MEMOTEF, Via del Castro Laurenziano 9, Roma - Facoltà di Economia, 1° piano)
Giorgio Ferrari (Center for Mathematical Economics (IMW) Bielefeld University, Germany)
terrà un seminario dal titolo: "Stochastic nonzero-sum games: a new connection between singular control and optimal stopping"
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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