Speaker: Peng Luo
Abstract: We study a multi-player stochastic differential game between financial agents who aim to optimally trade a risky asset in the presence of persistent market impact and stochastic resilience. The Nash-equilibrium is characterized in terms of a fully coupled system of forward-backward stochastic differential equations. Under certain conditions, we further show that this system of forward-backward stochastic differential equations has a unique solution, resulting in a unique Nash equilibrium.
Time: 2:00~3:00 pm, July 28, Mon
Location: R810, SIMIS
Zoom Meeting ID: 881 0309 9426 (Password: 540575)
Introduction to the Speaker： Peng Luo is an Associate Professor at the School of Mathematical Sciences, Shanghai Jiao Tong University. His current research lies in stochastic analysis, stochastic control and mathematical finance. Before joining Shanghai Jiao Tong University, he was a postdoctoral researcher at University of Waterloo and ETH Zurich. Prior to that, he obtained his Phd in Mathematics from Shandong University and University of Konstanz, advised by Professor Shige Peng and Michael Kupper.
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