Probability Seminar: Ofelia Bonesini - Continuous-time persuasion by filtering.
| Dates: | 1 October 2025 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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Ofelia Bonesini (London School of Economics) will speak at the Probability seminar.
Title: Continuous-time persuasion by filtering
Abstract:
We frame dynamic persuasion in a partial observation stochastic control game with an ergodic criterion. The receiver controls the dynamics of a multidimensional unobserved state process. Information is provided to the receiver through a device designed by the sender that generates the observation process.
The commitment of the sender is enforced and an exogenous information process outside the control of the sender is allowed. We develop this approach in the case where all dynamics are linear and the preferences of the receiver are linear-quadratic.
We prove a verification theorem for the existence and uniqueness of the solution of the HJB equation satisfied by the receiver’s value function. An extension to the case of persuasion of a mean field of interacting receivers is also provided. We illustrate this approach in two applications: the provision of information to electricity consumers with a smart meter designed by an electricity producer; the information provided by carbon footprint accounting rules to companies engaged in a best-in-class emissions reduction effort. In the first application, we link the benefits of information provision to the mispricing of electricity production. In the latter, we show that when firms declare a high level of best-in-class target, the information provided by stringent accounting rules offsets the Nash equilibrium effect that leads firms to increase pollution to make their target easier to achieve.
This is a joint work with Prof. René Aïd, Prof. Giorgia Callegaro and Prof. Luciano Campi.
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