Probability Seminar: Neofytos Rodosthenous (University College London) - Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities.
| Dates: | 27 November 2024 |
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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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Neofytos Rodosthenous will speak at the Probability seminar.
Title:
Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities
Abstract:
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and can act on the process continuously, while the other player can act on it only periodically at independent Poisson arrival times. The first one to stop receives a reward, different for each player, while the other one gets nothing. We study how each player balances the maximisation of gains against the maximisation of the likelihood of stopping before the opponent. In such a setup, driven by a Lévy process with positive jumps, we prove the existence as well as explicitly construct a Nash equilibrium. Joint work with Jose Luis Perez and Kazutoshi Yamazaki.
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