<div dir="ltr"><div style="text-align:center"><b>AVVISO SEMINARIO DI FINANZA QUANTITATIVA</b></div><div class="gmail_extra"><br clear="all"><div class="gmail_quote"><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex"><div style="word-wrap:break-word"><div><div><br></div><div>Day <span class="m_-3287683125992063596Apple-tab-span" style="white-space:pre-wrap">         </span>:<span class="m_-3287683125992063596Apple-tab-span" style="white-space:pre-wrap">                </span>Thursday, 15 February 2018 — from 11:00 to 13:00</div><div>Room<span class="m_-3287683125992063596Apple-tab-span" style="white-space:pre-wrap">    </span>:<span class="m_-3287683125992063596Apple-tab-span" style="white-space:pre-wrap">                </span>Mancini<br><div>Speaker<span class="m_-3287683125992063596Apple-tab-span" style="white-space:pre-wrap">      </span>: <span class="m_-3287683125992063596Apple-tab-span" style="white-space:pre-wrap">               </span><b>Prof. Luciano Campi </b>(London School of Economics) </div><div style="text-align:left">Title  <span class="m_-3287683125992063596Apple-tab-span" style="white-space:pre-wrap">   </span>:<span class="m_-3287683125992063596Apple-tab-span" style="white-space:pre-wrap">                "</span><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px">Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications"</span></div><div><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px"><b></b></span></div></div></div></div></blockquote><div><b> </b></div><blockquote class="gmail_quote" style="margin:0px 0px 0px 0.8ex;border-left:1px solid rgb(204,204,204);padding-left:1ex"><div style="word-wrap:break-word"><div><div><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px">Abstract :<span class="m_-3287683125992063596Apple-tab-span" style="white-space:pre-wrap">            </span>     </span><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px">We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, a suitable system of quasi-variational inequalities for the value functions and the optimal strategies of the two players. As an application, we study an impulse game with a one-dimensional state variable, following a real-valued scaled Brownian motion, and two players with linear and symmetric running payoffs. We fully characterize a Nash equilibrium and provide explicit expressions for the optimal strategies and the value functions. We also prove some asymptotic results with respect to the intervention costs. Finally, we consider two further non-symmetric examples where a Nash equilibrium is found numerically.</span></div><div><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px"><br></span></div></div><div><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px"><br></span></div><div>Classe di Scienze Matematiche e Naturali</div><span class="HOEnZb"><font color="#888888"><div><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px"><br></span></div><div><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px"><br></span></div><div><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px"><br></span></div><div><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px"><br></span></div><div><span style="background-color:rgb(255,255,255);color:rgb(34,34,34);font-family:arial,sans-serif;font-size:13px"><br></span></div></font></span></div></blockquote></div><br></div></div>

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