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PRODID:-//Columba Systems Ltd//NONSGML CPNG/SpringViewer/ICal Output/3.3-
 M3//EN
VERSION:2.0
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20241112T140140Z
DTSTART:20241127T150000Z
DTEND:20241127T160000Z
SUMMARY:Probability Seminar: Neofytos Rodosthenous (University College Lo
 ndon) - Non-zero-sum optimal stopping game with continuous versus period
 ic exercise opportunities.
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}y15p-m3eitn
 x8-lyzlgf
DESCRIPTION:Neofytos Rodosthenous will speak at the Probability seminar.\
 n\nTitle:\n\nNon-zero-sum optimal stopping game with continuous versus p
 eriodic exercise opportunities\n\n\nAbstract:\n\nWe 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 playe
 r observes and can act on the process continuously\, while the other pla
 yer 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 stop
 ping before the opponent. In such a setup\, driven by a Lévy process wit
 h positive jumps\, we prove the existence as well as explicitly construc
 t a Nash equilibrium. Joint work with Jose Luis Perez and Kazutoshi Yama
 zaki.
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Frank Adams 2\, Alan Turing Building\, Manchester
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