Tiziano De Angelis (Università degli Studi di Torino)

“Some explicit results on Dynkin games with incomplete and asymmetric information”

Abstract. I will discuss two stochastic games of stopping in continuous time (Dynkin games) in which players have incomplete and asymmetric information about the game’s structure. The first one is a zero-sum game in which one player cannot fully observe the underlying stochastic dynamics. The second one is a nonzero-sum game in which players have uncertainty about existence of a competitor. Both examples are solved explicitly using methods from the theory of stochastic calculus.