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


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