Speaker: Stefan Ankirchner
Title: Diffusion control ranking games
Abstract: This talk is about the effect of interaction and rank-based rewards on risk appetite. To this end we consider a symmetric stochastic differential game where each player can control the diffusion intensity of an individual dynamic state process, and the players whose final states are among the highest receive a fixed prize. We explain how to get an explicit solution in the 2 player case. We then consider the mean-field version of the game and derive approximate Nash-equilibria for games with many players. Finally, we discuss the role of correlation of the state processes in the two player case. The talk is based on joint work with Nabil Kazi-Tani, Julian Wendt and Chao Zhou.