Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
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- René Aïd & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu, 2020. "Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications," Mathematics of Operations Research, INFORMS, vol. 45(1), pages 205-232, February.
- René Aïd & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu, 2019. "Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications," Post-Print hal-02276874, HAL.
- René Aïd & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu, 2020. "Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications," Post-Print hal-03355609, HAL.
- Ren'e Aid & Matteo Basei & Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu, 2016. "Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications," Papers 1605.00039, arXiv.org, revised Nov 2018.
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- Guohui Guan & Zongxia Liang & Yi Xia, 2024. "Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty," Papers 2412.09171, arXiv.org.
- Luciano Campi & Davide Santis, 2020. "Nonzero-Sum Stochastic Differential Games Between an Impulse Controller and a Stopper," Journal of Optimization Theory and Applications, Springer, vol. 186(2), pages 688-724, August.
- Giorgio Ferrari & Torben Koch, 2019. "On a strategic model of pollution control," Annals of Operations Research, Springer, vol. 275(2), pages 297-319, April.
- Diego Zabaljauregui, 2019. "A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games," Papers 1909.03574, arXiv.org, revised Jun 2020.
- Liangchen Li & Michael Ludkovski, 2018. "Stochastic Switching Games," Papers 1807.03893, arXiv.org.
- Cao, Haoyang & Guo, Xin, 2022. "MFGs for partially reversible investment," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 995-1014.
- Matteo Basei, 2019. "Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(3), pages 355-383, June.
- Francesco Giuseppe Cordoni & Luca Di Persio & Yilun Jiang, 2020. "A Bank Salvage Model by Impulse Stochastic Controls," Risks, MDPI, vol. 8(2), pages 1-31, June.
- Zhang, Nan & Jin, Zhuo & Qian, Linyi & Fan, Kun, 2019. "Stochastic differential reinsurance games with capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 7-18.
- Francesco Cordoni & Luca Di Persio & Yilun Jiang, 2019. "A bank salvage model by impulse stochastic controls," Papers 1910.03056, arXiv.org.
- Sadana, Utsav & Reddy, Puduru Viswanadha & Zaccour, Georges, 2021. "Nash equilibria in nonzero-sum differential games with impulse control," European Journal of Operational Research, Elsevier, vol. 295(2), pages 792-805.
- Ren'e Aid & Lamia Ben Ajmia & M'hamed Gaigi & Mohamed Mnif, 2021. "Nonzero-sum stochastic impulse games with an application in competitive retail energy markets," Papers 2112.10213, arXiv.org.
- Utsav Sadana & Puduru Viswanadha Reddy & Tamer Başar & Georges Zaccour, 2021. "Sampled-Data Nash Equilibria in Differential Games with Impulse Controls," Journal of Optimization Theory and Applications, Springer, vol. 190(3), pages 999-1022, September.
- Diego Zabaljauregui, 2020. "Optimal market making under partial information and numerical methods for impulse control games with applications," Papers 2009.06521, arXiv.org.
- Tiziano De Angelis & Caio C'esar Graciani Rodrigues & Peter Tankov, 2024. "A model of strategic sustainable investment," Papers 2412.00986, arXiv.org.
- Giorgio Ferrari & Tiziano Vargiolu, 2020.
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Annals of Operations Research, Springer, vol. 292(2), pages 795-832, September.
- Giorgio Ferrari & Tiziano Vargiolu, 2017. "On the Singular Control of Exchange Rates," Papers 1712.02164, arXiv.org.
- Ferrari, Giorgio & Vargiolu, Tiziano, 2018. "On the Singular Control of Exchange Rates," Center for Mathematical Economics Working Papers 594, Center for Mathematical Economics, Bielefeld University.
- Ferrari, Giorgio & Koch, Torben, 2018. "On a Strategic Model of Pollution Control," Center for Mathematical Economics Working Papers 586, Center for Mathematical Economics, Bielefeld University.
- Ren'e Aid & Luciano Campi & Liangchen Li & Mike Ludkovski, 2020. "An Impulse-Regime Switching Game Model of Vertical Competition," Papers 2006.04382, arXiv.org.
- Joffrey Derchu & Philippe Guillot & Thibaut Mastrolia & Mathieu Rosenbaum, 2020. "AHEAD : Ad-Hoc Electronic Auction Design," Papers 2010.02827, arXiv.org.
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More about this item
Keywords
stochastic differential game; impulse control; Nash equilibrium; quasi-variational inequality;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2019-10-14 (Computational Economics)
- NEP-GTH-2019-10-14 (Game Theory)
- NEP-ORE-2019-10-14 (Operations Research)
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