Nonzero-sum stochastic differential games between an impulse controller and a stopper

DOI10.1007/S10957-020-01718-6zbMATH Open1447.91016arXiv1904.00059OpenAlexW3044885624MaRDI QIDQ2194136FDOQ2194136

Luciano Campi, Davide De Santis

Publication date: 25 August 2020

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Abstract: We study a two-player nonzero-sum stochastic differential game where one player controls the state variable via additive impulses while the other player can stop the game at any time. The main goal of this work is characterize Nash equilibria through a verification theorem, which identifies a new system of quasi-variational inequalities whose solution gives equilibrium payoffs with the correspondent strategies. Moreover, we apply the verification theorem to a game with a one-dimensional state variable, evolving as a scaled Brownian motion, and with linear payoff and costs for both players. Two types of Nash equilibrium are fully characterized, i.e. semi-explicit expressions for the equilibrium strategies and associated payoffs are provided. Both equilibria are of threshold type: in one equilibrium players' intervention are not simultaneous, while in the other one the first player induces her competitor to stop the game. Finally, we provide some numerical results describing the qualitative properties of both types of equilibrium.

Full work available at URL: https://arxiv.org/abs/1904.00059

zbMATH Keywords

Nash equilibriumquasivariational inequalitiesstochastic differential gamesimpulse controlscontroller-stopper games

Mathematics Subject Classification ID

2-person games (91A05) Stochastic games, stochastic differential games (91A15) Equilibrium refinements (91A11) Impulsive control/observation systems (93C27)

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Cited In (9)

• HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS
• Nash equilibria in nonzero-sum differential games with impulse control
• Sampled-data Nash equilibria in differential games with impulse controls
• A zero-sum deterministic impulse controls game in infinite horizon with a new HJBI-QVI
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