BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:Volterra stochastic games with time change - Giulia Di Nunno (Mate
 matisk Institutt\, Oslo\, NHH Norwegian School of Economics)
DTSTART:20220422T133000Z
DTEND:20220422T143000Z
UID:TALK171377@talks.cam.ac.uk
DESCRIPTION:We present a framework to study stochastic differential games 
 between two players controlling a forward stochastic Volterra integral equ
 ation (FSVIE). Each player has to optimize his own performance functional 
 which includes a backward stochastic differential equation (BSDE). The dyn
 amics considered are driven by time-changed L&eacute\;vy noises\, with abs
 olutely continuous time-change processes\, hence beyond the classical jump
 -diffusion framework and Markovian structures. We show how different infor
 mation flows and stochastic derivatives play a role in the characterisatio
 n of Nash equilibria. We present the zero-sum game as a particular case.
LOCATION:Seminar Room 1\, Newton Institute
END:VEVENT
END:VCALENDAR