Department of Mathematics

Berenice Neumann, Universität Hamburg: "Nonzero-Sum Dynkin Games with Random Inattention"

Dec 05, 2019 from 10:15 AM to 11:45 AM

LMS 4 - Raum 325 - Seminarhörsaal

Abstract:

In this talk, we consider nonzero-sum Dynkin games, where the players can only stop the game at random intervention times given by arbitrary stopping times. This yields to a discrete time game. However, the time horizon of the discrete time game is non-standard, more precisely it is a stopping time, which is often unbounded. We introduce a recursion whose solution characterize an equilibrium points. Thereafter, we provide an explicit (numerical) construction whose limit yields a solution of the recursion. Moreover, the construction yields upper and lower bounds for any other solution of the recursion.

 

Add to your iCal calendar

zurück