skip to content
 

Zero-sum optimal switching games motivated by energy applications

Presented by: 
Said Hamadene Université du Maine
Date: 
Wednesday 20th February 2019 - 15:00 to 16:00
Venue: 
INI Seminar Room 2
Abstract: 
\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}
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons