A Fixed-Point Policy-Iteration-Type Algorithm for Symmetric Nonzero-Sum Stochastic Impulse Control Games

Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has hindered their proliferation. Semi-analytical approaches make stron...

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Bibliographic Details
Published in:	Applied mathematics & optimization Vol. 84; no. 2; pp. 1751 - 1790
Main Author:	Zabaljauregui, Diego
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.10.2021 Springer Nature B.V
Subjects:	Algorithms Calculus of Variations and Optimal Control; Optimization Control Convergence Differential games Game theory Graph theory Iterative methods Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Numerical and Computational Physics Numerical methods Simulation Systems Theory Theoretical Weakly chained diagonally dominant matrix Nonzero-sum games Nash equilibrium Quasi-variational inequality Impulse control Fixed point policy iteration Stochastic differential games Howard’s algorithm
ISSN:	0095-4616, 1432-0606
Online Access:	Get full text
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