[CvGmt News] [Notiziario] [Settimanale] avviso seminario di Finanza Quantitativa, Prof. Luciano Campi (15.02.2018)

[Valeria Giuliani]

*AVVISO SEMINARIO DI FINANZA QUANTITATIVA*


> Day  : Thursday, 15 February 2018 — from 11:00 to 13:00
> Room : Mancini
> Speaker : *Prof. Luciano Campi *(London School of Economics)
> Title   : "Nonzero-sum stochastic differential games with impulse
> controls: a verification theorem with applications"
>


> Abstract :      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.
>
>
> Classe di Scienze Matematiche e Naturali
>
>
>
>
>
>

-- 
Hai ricevuto questo messaggio perché sei iscritto al gruppo "Matematici.Esterni.SNS" di Google Gruppi.
Per annullare l'iscrizione a questo gruppo e non ricevere più le sue email, invia un'email a matematici.esterni.sns+unsubscribe at sns.it.
Per postare messaggi in questo gruppo, invia un'email a matematici.esterni.sns at sns.it.
Per visualizzare questa discussione sul Web, visita https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBmXtdBOgn2WvGtR6Trq9xq0-TNfziSjx82BAjZtNGuE7w%40mail.gmail.com.
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://cvgmt.sns.it/pipermail/news/attachments/20180209/9cc3049d/attachment-0001.html>
-------------- next part --------------
_______________________________________________
Settimanale mailing list
Settimanale at fields.dm.unipi.it
https://fields.dm.unipi.it/listinfo/settimanale
-------------- next part --------------
_______________________________________________
Notiziario mailing list
Notiziario at fields.dm.unipi.it
https://fields.dm.unipi.it/listinfo/notiziario