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Volterra stochastic games with time change

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FD2W03 - Optimal control and fractional dynamics

We present a framework to study stochastic differential games between two players controlling a forward stochastic Volterra integral equation (FSVIE). Each player has to optimize his own performance functional which includes a backward stochastic differential equation (BSDE). The dynamics considered are driven by time-changed Lévy noises, with absolutely continuous time-change processes, hence beyond the classical jump-diffusion framework and Markovian structures. We show how different information flows and stochastic derivatives play a role in the characterisation of Nash equilibria. We present the zero-sum game as a particular case.

This talk is part of the Isaac Newton Institute Seminar Series series.

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