Seminar: "Dynkin Games With Partial And Asymmetric Information" - Tiziano De Angelis (Università degli Studi di Torino)

Seminar organized within the project DISMA Excellence Project 2018-2022.

"Dynkin Games With Partial And Asymmetric Information"

Tiziano De Angelis - Università degli Studi di Torino

Tuesday June 8th, 2021 - 16:30

Webinar: link zoom.

Abstract: I will review some recent results obtained in collaboration with Ekström, Glover, Merkulov and Palczewski concerning existence of equilibria for Dynkin games with partial and asymmetric information. I will present a general result for the existence of a saddle point in zero-sum non-Markovian Dynkin games. Then I will illustrate explicit solutions to two specific problems: a zero-sum game with asymmetric information on the drift of a geometric Brownian motion and a non-zero sum game with uncertain competition. The construction of all equilibria relies upon the use of randomised stopping times.

Flyer of the event: the flyer of the event can be downloaded here.