Matteo Basei, EDF, Paris

Nonzero-sum stochastic games with impulse controls, and applications
Date
Oct 7, 2020, 4:30 pm5:30 pm

Details

Event Description

We consider a general class of nonzero-sum stochastic games with impulse controls. By means of a suitable system of quasi-variational inequalities, we provide a verification theorem for the equilibrium strategies. We then present some examples and applications. Finally, we consider some extensions and future research directions. Short Bio: Matteo Basei is a researcher in the R&D Department at EDF Paris, currently working on machine learning and stochastic models in energy markets. Before joining EDF, Matteo was a post-doc researcher at the University of California, Berkeley, and Université Paris Diderot. He holds a PhD in Applied Mathematics from the University of Padova, Italy.

Event Category
Financial Mathematics Seminar