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Project C4: Stochastic games of singular control and games of stopping

Principal Investigator(s)
Giorgio Ferrari


Problems of singular stochastic control (SSC) and optimal stopping (OS) arise frequently in Economics and Finance. Examples of applications are capacity choice, optimal management of storage systems, entry/exit problems, and fair pricing of American options. In this project we study games of SSC and games of OS. In particular, we aim at investigating if there exists a connection between certain games of SSC and suitable nonzero-sum games of OS that is consistent with the link OS-SSC observed in single-agent optimization problems. Moreover, we will consider zero-sum games of OS with incomplete information, SSC problems with multi-dimensional controls and games involving impulse controls. For the latter two topics, possible relations with questions of OS will also be explored.

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