Zero-sum optimal switching games motivated by energy applications

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• Said Hamadene (Université du Maine)
• Wednesday 20 February 2019, 15:00-16:00
• Seminar Room 2, Newton Institute.

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MES - The mathematics of energy systems

\author{S.Hamadene, LMM , Le Mans University, France.\\ Jww: R.Martyr (QMUL) and J.Moriary (QMUL).} \begin{abstract} In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected backward stochastic differential equations (DRBSDE) with interconnected barriers, we show that this game has a value and an equilibrium in the players' switching controls. \end{abstract}

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