dedicated to the memory of Jean-Francois Mertens
June 17 - 20, 2013
HIM Lecture Hall, Poppelsdorfer Allee 45
Organizers:
Amir, Kifer, Riedel, and Vieille
Description:
This workshop was devoted to recent advances in the theory of dynamic/stochastic games and its applications in economics and finance. The scope of the workshop was construed very broadly and included in particular discrete-time and continuous-time models.
The workshop was dedicated to the memory of J.-F. Mertens who was a leading figure in game theory, an inspiring scholar to many of us, and a major contributor to this area of game theory.
The four days were organized along topical lines. The first day covered recent advances in the basic theory of stochastic games, including repeated games of incomplete information. The second day was dedicated to the general class of stopping games, and included papers dealing with theoretical issues as well as applications to investment and capacity expansion games in economics. The third day dealt with applications of the theory of dynamic games in finance, in particular game options. The fourth day was devoted to papers dealing with stochastic games with uncountable state space including economic applications.
© HIM
Monday, June 17
| 09:05 - 09:45 | S. Sorin (w. G. Vigeral), Existence of asymptotic value via comparison arguments |
| 09:50 - 10:30 | G. Vigeral, Some zero-sum stochastic games with compact action sets and no asymptotic value |
| 10:30 - 11:00 | Coffee break |
| 11:00 - 11:40 | F. Gensbittel, Repeated games with informational constraints |
| 11:45 - 12:25 | M. Staudigl (w. J.-H. Steg), Repeated games with imperfect public monitoring in continuous-time |
| 12:25 - 14:00 | Lunch break |
| 14:00 - 14:40 | N. Vieille (w. P. Cardaliaguet, C. Rainer and D. Rosenberg), dynamic games of incomplete information |
| 14:45 - 15:25 | J. Renault (w. F. Gensbittel), The value of Markov chain games with incomplete information on both sides |
| 15:30 - 16:10 | J. Flesch, Refinements of subgame perfect epsilon-equilibrium in games with perfect information |
| 16:10 - 16:40 | Coffee break |
Tuesday, June 18
| 09:05 - 09:45 | S. Rady (w. J. Hoerner), Strongly symmetric equilibria in bandit games |
| 09:50 - 10:30 | J.-H. Steg (w. F. Riedel and J. Thijssen), On mixed strategies for stochastic timing games |
| 10:30 - 11:00 | Coffee break |
| 11:00 - 11:40 | C. Gruen, Dynkin games with incomplete information |
| 11:45 - 12:25 | E. Solan (w. B. Tsirelson and N. Vieille), Random stopping times in stopping problems and stopping games |
| 12:25 - 14:35 | Lunch break |
| 14:35 - 15:15 | P. Kort (w. K. Huisman), Strategic capacity investment under uncertainty |
| 15:20 - 16:00 | S. Boyarchenko (w. S. Levendorskii), Preemption games under Levy uncertainty |
| 16:00 - 16:30 | Coffee break |
Wednesday, June 19
| 09:05 - 09:45 | G. Peskir (w. J. Pedersen), Optimal mean-variance selling strategies |
| 09:50 - 10:30 | M. Rutkowski, Multi-person game options in discrete and continuous time |
| 10:30 - 11:00 | Coffee break |
| 11:00 - 11:40 | S. Hamadene, The multi-player nonzero-sum Dynkin game in discrete-time |
| 11:45 - 12:25 | S. Crepey (w. J-F. Chassagneux and A. Rahal), Doubly reflected BSDEs with call protection and their approximation |
| 12:25 - 14:35 | Lunch break |
| 14:35 - 15:15 | Y. Dolinsky, Hedging of game options under model uncertainty in discrete time |
| 15:20 - 16:00 | Y. Kifer, Hedging of game options in discrete markets with transaction costs |
| 16:00 - 16:30 | Coffee break |
Thursday, June 20
| 09:05 - 09:45 | E. Balder, A general model for the study of Bayesian games |
| 09:50 - 10:30 | J. Hoerner (w. A. Bonatti), Searching for the right threshold |
| 10:30 - 11:00 | Coffee break |
| 11:00 - 11:40 | M. Peski (w. B. Szentes), Local stability of stationary equilibria |
| 11:45 - 12:25 | K. Ritzberger (w. L. Blume), Traps of Poverty and the Blessings of Wealth |
| 12:25 - 14:00 | Lunch break |
| 14:35 - 15:15 | F. Page (w. J. Resende), Approximable stochastic games and stationary Markov equilibria |
| 15:20 - 16:00 | R. Amir, Monotone equilibria for a class of stochastic games in economics |
| 16:10 - 16:40 | Coffee break |
Person |
Affiliation |
Period of stay |
| Rabah Amir | University of Iowa | |
| Stefan Ankirchner | Universität Bonn | |
| Natalie Attard | University of Malta | |
| Erik Jan Balder | University of Utrecht | |
| Svetlana Boyarchenko | University of Texas at Austin | |
| Stéphane Crépey | University of Evry | |
| Rose-Anne Dana | Paris 9 Dauphine | |
| Amogh Deshpande | University of Warwick | |
| Yan Dolinsky | Hebrew University | |
| Omer Edhan | University of Manchester | |
| Igor Evstigneev | University of Manchester | |
| Giorgio Ferrari | Universität Bielefeld | |
| János Flesch | Maastricht University | |
| Pavel Gapeev | London School of Economics | |
| Fabien Gensbittel | TSE, Université Toulouse 1 Capitole | |
| Christine Grün | Université Toulouse | |
| Said Hamadene | University of Le Mans | |
| Wei He | National University of Singapore | |
| Johannes Hörner | Yale University | |
| Yuri Kifer | The Hebrew University | |
| Nicolas Klein | Université de Montréal | |
| Peter Kort | Tilburg University | |
| Leonidas Koutsougeras | University of Manchester | |
| Eugen Kovac | Universität Bonn | |
| Joon Kwon | Université Pierre et Marie Curie - Paris 6 | |
| Xiaoxi Li | Pierre et Marie Curie (Paris 6) | |
| Juan Pablo Maldonado Lopez | Université Pierre et Marie Curie - Paris 6 | |
| Miquel Oliu Barton | Université Pierre et Marie Curie - Paris 6 | |
| Frank Page | Indiana University | |
| Marcin Peski | University of Toronto | |
| Goran Peskir | University of Manchester | |
| Sven Rady | Universität Bonn | |
| Jérôme Renault | GREMAQ-TSE, University Toulouse 1 Capitole | |
| Frank Riedel | Bielefeld University | |
| Klaus Ritzberger | Institute for Advanced Studies, Vienna | |
| Marek Rutkowski | University of Sydney | |
| Nikoleta Scekic | Uni Bielefeld | |
| Klaus Reiner Schenk-Hoppé | University of Leeds | |
| Albert Shiryaev | Steklov Mathematical Institute Academy of Sciences of Russia | |
| Eilon Solan | Tel Aviv University | |
| Sylvain Sorin | Université Pierre et Marie Curie - Paris 6 | |
| Mathias Staudigl | Universität Bielefeld | |
| Jan-Henrik Steg | Universität Bielefeld | |
| Xiang Sun | National University of Singapore | |
| Nicolas Vieille | HEC Paris | |
| Guillaume Vigeral | Université Paris-Dauphine | |
| Phillip Sheung Chi Yam | The Chinese University of Hong Kong | |
| Mikhail Zhitlukhin | The University of Manchester | |
| Bruno Ziliotto | Université Toulouse 1 |