Diffusion control games
Abstract
We consider a symmetric stochastic di fferential game where each player can control the di ffusion intensity of an individual dynamic state process, and the players whose states at a deterministic finite time horizon are among the best alpha of all states receive a fixed prize. Within the mean- field limit version of the game we compute an explicit equilibrium, a threshold strategy that consists in choosing the maximal fluctuation intensity when the state is below a given threshold, and the minimal intensity else. We show that for large n the symmetric n-tuple of the threshold strategy provides an approximate Nash-equilibrium of the n- player game. Finally, we compare the approximate equilibrium for large games with the equilibrium of the two player case.
The talk is based on joint work with Nabil Kazi-Tani, Julian Wendt and Chao Zhou.
About the speaker
Stefan Ankirchner received his Ph.D. from Humboldt University, Berlin, Germany, in 2005. He was a Chapman Fellow at the Imperial College, London, UK, from 2005 to 2006. Before he joined University of Jena as a full Professor, He was a full Professor at University of Bonn during 2009-2014. His research interests include BSDEs, stochastic controls, and mathematical finance.
Zoom
https://cityu.zoom.us/j/97846970818?pwd=eW90Y0NTQTJVQjVFMENnMXNXUHRBdz09
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