The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Stefan Ankirchner (Department of Mathematics, University of Jena)
The Role of Correlation in Diffusion Control Ranking Games
Friday, June 2, 2023, 10:30 am, Building D4, Room D4.0.127

In this talk we analyze a stochastic differential game with two players, where each player can control the diffusion intensity of an individual dynamic state process. We suppose that the Brownian motions, driving the players' state equations, are correlated. At a deterministic finite time horizon the players receive a reward depending on their state processes' difference. As long as the correlation of the Brownian motions does not exceed a certain bound there exists a saddle point and the game has a value. For correlations exceeding this bound, however, the game does not have a value. To overcome this issue we introduce the notion of relaxed controls that may be regarded as mixed controls in the differential game setting. We prove that in this class of controls there exists a saddle point and the game has a value for all correlations.

The talk is based on joint work with Nabil Kazi-Tani and Julian Wendt.
 

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar