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Second Leeds meeting on stochastic control and games under ambiguity

Satellite
8th April 2019 to 13th April 2019
Venue: 
University of Leeds

This meeting is a follow-up to the research week: ‘Stopping Games for Ambiguity-Averse Players’ held in September 2017 which was co-funded by Heilbronn Institute. It will be organised by Tiziano De Angelis and Jan Palczewski at the University of Leeds.

 

The research week will gather experts in key mathematical areas which are developing tools towards the study of ambiguity. These include:

  • stochastic optimisation/games with partial or asymmetric information: the optimiser(s) can only observe some of the relevant state variables and different players may have access to different data-sets (a typical example in economics is insider trading; in energy systems all players have partial information about the supply and demand sides on the grid);
  • robust stochastic control: no probability space is fixed a priori and the controller/players must adopt strategies that optimise against the “worst case scenario” (this is a dynamic version of an approach currently preferred by engineers);
  • prospect theory and time-consistency: agents tend to weigh positive and negative outcomes in ways which introduce distortions in the probability distributions. The mathematical consequence is that dynamic programming principle no longer applies and we deal with time-inconsistent decision makers (i.e., the strategy changes as time passes). This approach takes into account behavioural element (opposite to perfect rationality) of small agents (individual households) that are starting to participate in electricity generation and demand response.
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons