Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications

DOI10.1287/MOOR.2019.0989zbMath1437.91044arXiv1605.00039OpenAlexW2964255335WikidataQ127463345 ScholiaQ127463345MaRDI QIDQ5108264

Matteo Basei, Giorgia Callegaro, René Aïd, Luciano Campi, Tiziano Vargiolu

Publication date: 30 April 2020

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.00039

zbMATH Keywords

Nash equilibriumstochastic differential gameimpulse controlquasi-variational inequalitydynamic programming/optimal control/applicationsgames/group decisions/stochasticprobability/stochastic model applications

Mathematics Subject Classification ID

2-person games (91A05) Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Impulsive control/observation systems (93C27)

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