Date(s) - 15/03/2019
13:40 - 15:40
Categories No Categories
Zero-Sum Markov Games with Impulse Controls
Associate Professor Arnab Basu, Decision Sciences at the Indian Institute of Management (IIM)
March 15th, Friday at 1:40 p.m. EA-409
We consider a zero-sum Markov stopping game on a general state space with impulse strategies and infinite time horizon discounted payoff. Under two sets of quite general (weak) assumptions, we show the existence of the value of the game and the form of saddle-point (optimal) strategies. We provide sufficient conditions for some of these assumptions and prove, by a counterexample, the necessity of these assumptions for the uniqueness of the value function. As is also shown, the game can be practically restricted to a sequence of Dynkin’s stopping games. Our methodology is somewhat different from the previous techniques used in the existing literature and is based on purely probabilistic arguments. As a consequence, certain interesting properties of Feller-Markov processes are proposed and proved in the proces.
Dr. Arnab Basu is a permanent (tenured) full-time Associate Professor of Decision Sciences at the Indian Institute of Management (IIM) Bangalore which is an EQUIS-EFMD accredited federal business school with FT (London) Global MBA ranking 33 and QS Global MBA ranking 51-100. Arnab works in Applied Mathematics and Data Science and scientifically collaborates with several renowned European universities as a Visiting Faculty. His research interest is cross-disciplinary leveraging tools and ideas from various branches of mathematics and computer science. He publishes his research findings in top international peer-reviewed journals like Mathematics of Operations Research, SIAM Journal on Control and Optimization etc. and also deploys these results to solve complex business problems and provide technical/strategic consulting and data-driven insights to the corporate primarily in Finance and Investments, E/M-Commerce, Risk Analytics, Energy (primarily Oil and Gas), Supply Chains/Logistics,
Cyber-security/Cyber-defence and Data Sciences (AI/ML/Automation, Advanced Analytics and other New-Age Technologies). He holds a Bachelor of Technology (Honours) in Computer Science and Engineering from the Indian Institute of Technology (IIT) Kharagpur and a Ph.D in Computer and System Sciences from the Tata Institute of Fundamental Research (TIFR) from where he received the TIFR-Sasken Best Ph.D Thesis Award in Computer Science and Mathematics.