(Spanish acronym of Stochastic Differential Games: Breaking Fifty Years of the Paradigm)
Differential games provide very powerful models and methods for important problems in biology, security and business, among others. However, their solution relies on very strong common knowledge assumptions, and their stochastic version relies on assuming that the corresponding processes are known. This project develops concepts and models that should allow one to overcome current approaches to stochastic differential games by providing a new paradigm for stochastic differential games.
Keywords: Differential games; stochastic differential equations; Bayesian inference.
Scheduling dates: 01/05/2017-30/04/2019
The project is supported by Ministerio de Economía y Competitividad (programme “Explora Ciencia 2015”), project MTM2015-72907-EXP.
April 4-6, 2018: special session on “Information and arbitrage in financial markets“, organized by B. D’Auria. Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2018), Madrid, Spain.
Members of our group:
Bernardo D’Auria, UC3M
Carlos Escudero Liébana, ICMAT-UAM
Antonio Gómez-Corral, ICMAT-UCM
David Gómez-Ullate Oteiza, ICMAT-UCM
Isabel Molina Peralta, UC3M
Bernt Oksendal, University of Oslo
David Ríos Insua, ICMAT-CSIC
Fabrizio Ruggeri, IMATI-CNR
- “A simple comparison between Skorokhod & Russo-Vallois integration for insider trading”, by C. Escudero; to appear in Stochastic Analysis and Applications.
- “A triple comparison between anticipating stochastic integrals in financial modelling”, by J.C. Bastons, C. Escudero. arXiv:1801.03351.
- “Games and decisions in reliability”, by D. Ríos, F. Ruggeri, R. Soyer, S. Wilson; under review.
- “Optimal portfolio with insider information on the stochastic interest rate”, by B. D’Auria, D. García Martí, J.A. Salmerón; under review.
- “Adversarial classification: an adversarial risk analysis approach”, by R. Naveiro, A. Redondo, F. Ruggeri; in elaboration.
- “From competition to cooperation”, by P. Esteban, A. Liu, J. Ortega, D. Ríos; in elaboration.
- “Adversarial risk analysis for stochastic differential games”, by A. Gómez-Corral, J. Ortega & D. Ríos Insua; in elaboration.
- “Duality and Feynman-Kac, from coalescent processes to Wright-Fisher diffusion”, by A. Correales, C. Escudero; in elaboration.
- “Absence of Itö/Stratonovich duality in physical theories with absorbing states”, by A. Correales, C. Escudero; in elaboration.
- “Doi-Peliti formalism, duality and umbral calculus”, A. Correales, C. Escudero.
- “Chemical kinetics, Markov chains, and the imaginary Itö interpretation”, A. Correales, C. Escudero; in elaboration.
- “Model based finite population inference under informative sampling”, by I. Molina, M. Ghosh; in elaboration.
- “Small area estimation methods under cut-off sampling”, by M. Guadarrama, I. Molina, Y. Tillé; in elaboration.
- “Normal mixture model for small area estimation”, by A. Bikauskaite, I. Molina, D. Morales; in elaboration.
- “Games and Decisions in Risk and Reliability”, special issue of ASMBI, eds. A. Pievatolo, D. Ríos, S. Wilson.
Communications in scientific conferences
- June 6-9, 2017, “Optimal portfolio strategies and derivative products under insider information”, by B. D’Auria, C. Escudero. ASMDA 2017, London, UK.
- October 12-13, 2017, “Hypothesis testing in presence of adversaries“, by J. González-Ortega, D. Ríos, F. Ruggeri, R. Soyer. Ninth Workshop on Dynamic Games in Management Science, GERAD-HEC, Montreal, Canada.
- November 8-9, 2017, “Optimal strategies with insider information on the stochastic interest rate”, by B. D’Auria. FINEWSTOCH Networshop II, Oslo, Norway.
Scientific seminars organized by JUDIES or its members
Past scientific activities organized by members of JUDIES
- October 10, 2017: Math Biology, DataLab Seminar, ICMAT.
- July 5, 2017: “Switching diffusions and applications”, by George Yin (Wayne State University, USA), DataLab Seminar, ICMAT.
- June 7, 2017: 5th Symposium on Games and Decisions in Reliability and Risk (GDRR)
- June 1, 2017: Stochastics in Math Biology, DataLab Seminar, ICMAT
- May 30, 2017: Big Bayes, Huge Bayes. Seminars on Bayesian Methods in Big Data Problems. DataLab Seminar, ICMAT
Outreach & public communication
- It’s a risky life!
- Twitter: @davidrinsua