Date: Wednesday, December 09, 2015
Location: 1360 East Hall (4:00 PM to 5:00 PM)
Title: Robust Dynkin games
Abstract: We analyze a robust version of the Dynkin game over a set P of mutually singular probabilities. We first prove that conservative player's lower and upper value coincide (Let us denote the value by V). Such a result connects the robust Dynkin game with secondorder doubly reflected backward stochastic differential equations. Also, we show that the value process V is a submartingale under an appropriately defined nonlinear expectations up to the first time $ \tau_* $ when V meets the lower payoff process. If the probability set P is weakly compact, one can even find an optimal triple ($P_*$, $\tau_*$, $\gamma_*$) for the value $V_0$.
This is a joint work with Erhan Bayraktar.
Files: 3331_RDG_talk_umich.pdf
Speaker: Song Yao
Institution: University of Pittsburgh
Event Organizer: Erhan Bayraktar erhan@umich.edu
