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Talks in Financial and Insurance Mathematics
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This is the regular weekly research seminar on Insurance Mathematics and Stochastic Finance.
Autumn Semester 2016
Note: The highlighted event marks the next occurring event.
Date / Time | Speaker | Title | Location | |
---|---|---|---|---|
25 August 2016 |
No seminar | |||
1 September 2016 17:15-18:15 |
Marcel Nutz Columbia University |
A Mean Field Game of Optimal Stopping | HG G 43 | |
Abstract: We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become functions of the common noise that all agents are exposed to, whereas idiosyncratic randomness can be eliminated by an Exact Law of Large Numbers. Under a structural monotonicity assumption, we can identify equilibria with solutions of a simple equation involving the distribution function of the idiosyncratic noise. Solvable examples allow us to gain insight into the uniqueness of equilibria and the dynamics in the population. | ||||
29 September 2016 17:15-18:15 |
Yan Dolinsky Hebrew University of Jerusalem |
Title T.B.A. | HG G 43 |
Archive: AS 16 SS 16 AS 15 SS 15 AS 14 SS 14 AS 13 SS 13 AS 12 SS 12 AS 11 SS 11 AS 10 SS 10 AS 09