# Seminar Event Detail

Financial/Actuarial Mathematics

 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 second-order 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