Event Date
Speaker: Jean-Pierre Fouque, Statistics and Applied Probability, UC Santa Barbara
Title: "Linear-Quadratic Stochastic Differential Games on Directed Chain Networks"
Abstract: We present linear-quadratic stochastic differential games on directed chains inspired by the directed chain stochastic differential equations introduced by Detering, Fouque, and Ichiba in a previous work. We solve explicitly for Nash equilibria with a finite number of players and we study more general finite-player games with a mixture of both directed chain interaction and mean field interaction. We investigate and compare the corresponding games in the limit when the number of players tends to infinity.
The limit is characterized by Catalan functions and the dynamics under equilibrium is an infinite-dimensional Gaussian process described by a Catalan Markov chain, with or without the presence of mean field interaction.
Joint work with Yichen Feng and Tomoyuki Ichiba.
Seminar Date/Time: Thursday October 22nd, 4:10pm
This seminar will be delivered remotely via Zoom. To access the Zoom meeting for this seminar, please contact the instructor Fushing Hsieh (fhsieh@ucdavis.edu) or Pete Scully (pscully@ucdavis.edu) for the meeting ID and password, stating your affiliation.