- Date: 16 Jun. (Thu.)
- Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
- Time: 16:30-18:30
- Speaker 1: Tomoyuki Ichiba (University of California, Santa Barbara)
- Title: Stochastic Differential Games on Random Directed Trees
- Abstract:
We consider stochastic differential games on a random directed tree with mean-field interactions, where the network of countably many players is formulated randomly in the beginning and each player in the network attempts to minimize the expected cost over a finite time horizon. Here, the cost function is determined by the random directed tree. Under the setup of the linear quadratic stochastic game with directed chain graph, we solve explicitly for an open-loop Nash equilibrium for the system, and we find that the dynamics under the equilibrium is an infinite-dimensional Gaussian process associated with a Catalan Markov chain. We extend it to the random directed tree structures and discuss convergence results.
- Speaker 2: Noriyoshi Sakuma (Nagoya City University)
- Title: Selfsimilar free additive processes and freely selfdecomposable distributions
- Abstract:
In the paper by Fan(2006), he introduced the marginal selfsimilarity of non-commutative stochastic processes and proved the marginal distributions of selfsimilar processes with freely independent increments are freely selfdecomposable. In this talk, we, first, give a short introduction of free probability. Then we introduce a new definition of selfsimilarity via linear combinations of non-commutative stochastic processes and prove the converse of Fan’s result, to complete the relationship between selfsimilar free additive processes and freely selfdecomposable distributions. Furthermore, we construct stochastic integrals with respect to free additive processes for constructing the background driving free L{\’e}vy processes of freely selfdecomposable distributions. A relation in terms of their free cumulant transforms is also given and several examples are also discussed. This talk is based on a joint work arXiv:2202.11848 with Makoto Maejima.
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