BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//talks.cam.ac.uk//v3//EN
BEGIN:VTIMEZONE
TZID:Europe/London
BEGIN:DAYLIGHT
TZOFFSETFROM:+0000
TZOFFSETTO:+0100
TZNAME:BST
DTSTART:19700329T010000
RRULE:FREQ=YEARLY;BYMONTH=3;BYDAY=-1SU
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0100
TZOFFSETTO:+0000
TZNAME:GMT
DTSTART:19701025T020000
RRULE:FREQ=YEARLY;BYMONTH=10;BYDAY=-1SU
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Volterra stochastic games with time change - Giuli
a Di Nunno (Matematisk Institutt\, Oslo\, NHH Norw
egian School of Economics)
DTSTART;TZID=Europe/London:20220422T143000
DTEND;TZID=Europe/London:20220422T153000
UID:TALK171377AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/171377
DESCRIPTION:We present a framework to study stochastic differe
ntial games between two players controlling a forw
ard stochastic Volterra integral equation (FSVIE).
Each player has to optimize his own performance f
unctional which includes a backward stochastic dif
ferential equation (BSDE). The dynamics considered
are driven by time-changed Lé\;vy noises\,
with absolutely continuous time-change processes\,
hence beyond the classical jump-diffusion framewo
rk 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 cas
e.
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:
END:VEVENT
END:VCALENDAR