Tiziano de Angelis (University of Torino)

Titre : Dynkin games with partial and asymmetric information

Abstract : I will review some recent results obtained in collaboration with Ekström, Glover, Merkulov and Palczewski concerning existence of equilibria for Dynkin games with partial and asymmetric information. I will present a general result for the existence of a saddle point in zero-sum non-Markovian Dynkin games. Then I will illustrate explicit solutions to two specific problems: a zero-sum game with asymmetric information on the drift of a geometric Brownian motion and a non-zero sum game with uncertain competition. The construction of all equilibria relies upon the use of randomised stopping times.

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