Stochastics and Finance: Tiziani De Angelis -- Dynkin games with partial and asymmetric information

 Dear All, 

You are kindly invited to attend the next Stochastics and Finance seminar.  On Wednesday
March 24 at 8pm (Sydney time) Tiziano De Angelis will give a talk via Zoom.  Please note
this is an evening seminar.  

Zoom link: https://uni-sydney.zoom.us/j/87491585109 

Speaker: Prof Tiziano De Angelis (University of Turin) 

Title: Dynkin games with partial and asymmetric information 

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 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.  I will
then present a general result for the existence of a saddle point in zero-sum
non-Markovian Dynkin games.  The construction of all equilibria relies upon the use of
randomised stopping times.  

The talk is based on 

https://arxiv.org/abs/1810.07674 (Math.  Oper.  Res.  2020, to appear) 

https://arxiv.org/abs/1905.06564 (Stoch.  Process.  Appl.  130 (2020), pp.  6133-6156) 

https://arxiv.org/abs/2007.10643 

http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html 

Please feel free to forward this message to anyone who might be interested in this
talk.  

Kind regards, 

Anna