数学科学研究所
Insitute of Mathematical Science

Colloquium: A Degenerate Elliptic PDE in Economics: Reputation with Multiple Commitment Types in Continuous-Time

Colloquium| Institute of Mathematical Sciences

Time14:00-15:00, September 19 Thursday

LocationRoom S408, IMS


Speaker: Seokjong Ryu (School of Economics, Shanghai University of Finance and Economics)

Abstract: We study a quasi-linear 2nd order partial differential equation (PDE) derived from a continuous-time model of an incomplete-information repeated game in which the long-lived player is either an optimising agent or one of several types committed to fixed actions. First, by using the degeneracy on the boundary of the PDE, we set up an iterative procedure consisting of linear PDEs. Second, we prove the existence of an approximate solution to the PDE without boundary conditions. Finally, on a restricted domain, we find a stochastic representation of the solution to a limit PDE in the iterative procedure.


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