Stochastic games of singular control and games of stopping (C04)

• Subject Area: Mathematics ; Economic Theory
• Term: since 2017
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 317210226

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 N-player and mean-field games of SSC, as well as multi-dimensional SSC problems. In particular, we aim at proving existence and approximation results for Nash and mean-field equilibria in stochastic games of SSC, and at providing a thorough analysis of certain multi-dimensional SSC problems via the study of the geometry of their state space and the delicate construction of their optimal control rules. The connection of these problems to questions of OS will be explored and exploited.

• DFG Programme: Collaborative Research Centres
• Subproject of: SFB 1283: Taming uncertainty and profiting from randomness and low regularity in analysis, stochastics and their applications
• Applicant Institution: Universität Bielefeld
• Project Head: Professor Giorgio Ferrari, Ph.D.