Stopping Games for Ambiguity-Averse Players
September 5 – 9, 2017 | University of Leeds
Building on the momentum gained with the conference the School of Mathematics at Leeds will host an intensive research week funded by Heilbronn Institute for Mathematical Research (participation on invitation only).
Game theory is a cornerstone of modelling and understanding behaviour of interacting individuals. In recent years the main assumption of the theory of stochastic optimal control and games, that the dynamics of the underlying stochastic processes is known to participants, has been questioned giving rise to optimisation under Knightian uncertainty (also called model ambiguity). The research week will address fundamental questions arising when this uncertainty about the dynamics of the driving stochastic process is introduced in the framework of stochastic games of stopping and impulse control.
Participants of the research week
- Beatrice Acciaio (LSE, UK)
- Anna Aksamit (Oxford, UK)
- Natalie Caruana (Malta)
- Katia Colaneri (University of Perugia)
- Alexander Cox (Bath, UK)
- Tiziano De Angelis (Leeds, UK)
- Erik Ekström (Uppsala, Sweden)
- Saïd Hamadene (Le Mans, France)
- David Hobson (Warwick, UK)
- John Moriarty (QMUL, UK)
- Jan Palczewski (Leeds, UK)
- Goran Peskir (Manchester, UK)
- Catherine Rainer (Brest, France)
- Frank Riedel (Bielefeld, Germany)
Invited experts will lead short sessions in which they provide an overview of methods, tools and challenges related to various aspects/meanings of “ambiguity” in stochastic control. Each session is followed by discussion and work in group aimed at developing a framework for games of stopping and impulse with ambiguity-averse players (download the Research week programme).