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28 Febbraio, 2022 17:30 in punto
Sezione di Probabilità e Statistica Matematica

Zero-sum mean-field Dynkin games.

Boualem Djehiche, KTH, Stockholm
Abstract

I will review recent results on a class of zero-sum game problems of mean-field type which extend the classical zero-sum Dynkin game problems. The results I will highlight include
sufficient conditions under which such a game admits a value and a saddle point and a characterization of the value of the game in terms of a specific class of doubly reflected backward stochastic differential equations (BSDEs) of mean-field type. Moreover, a corresponding system of weakly interacting values of zero-sum Dynkin games is introduced and is shown to converge to the value of the zero-sum mean-field Dynkin game. In particular, a propagation of chaos result is derived.
This is a joint work with Roxana Dumistrescu.

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