Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
From MaRDI portal
Publication:6151940
Applications of game theory (91A80) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Differential games and control (49N70) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic games, stochastic differential games (91A15) Impulsive control/observation systems (93C27)
Abstract: We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total expected discounted profits. The resolution methodology relies on the connection between Nash equilibrium and the corresponding system of quasi-variational inequalities (QVIs in short). We prove, by means of the weak dynamic programming principle for the stochastic differential game, that the value function of each player is a constrained viscosity solution to the associated QVIs system in the class of linear growth functions. We also introduce a family of value functions converging to our value function of each player, and which is characterized as the unique constrained viscosity solutions of an approximation of our QVIs system. This convergence result is useful for numerical purpose. We apply a probabilistic numerical scheme which approximates the solution of the QVIs system to the case of the competition between two electricity retailers. We show how our model reproduces the qualitative behaviour of electricity retail competition.
Recommendations
- Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
- Nonzero-sum stochastic differential games between an impulse controller and a stopper
- A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
- Nonzero-sum stochastic games and mean-field games with impulse controls
- Nonzero-sum impulse games with regime switching
Cites work
- scientific article; zbMATH DE number 5010399 (Why is no real title available?)
- scientific article; zbMATH DE number 5604590 (Why is no real title available?)
- scientific article; zbMATH DE number 488339 (Why is no real title available?)
- scientific article; zbMATH DE number 3204219 (Why is no real title available?)
- A model of optimal portfolio selection under liquidity risk and price impact
- A policy iteration algorithm for nonzero-sum stochastic impulse games
- Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility.
- Elliptic Partial Differential Equations of Second Order
- Functional quantization of Gaussian processes
- Functional quantization of a class of Brownian diffusions: a constructive approach
- Numerical approximation for a portfolio optimization problem under liquidity risk and costs
- Optimal Control with State-Space Constraint. II
- Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Stochastic differential equations. An introduction with applications.
- Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
- Stochastic optimal control. The discrete time case
- User’s guide to viscosity solutions of second order partial differential equations
- Viscosity solutions of Hamilton-Jacobi equations
- Weak dynamic programming principle for viscosity solutions
This page was built for publication: Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6151940)
