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

We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of this paper is a verification theorem that provides, under some regularity conditions, a suitable system of quasi-variational inequalities for the payoffs and the strategies of the two players at so...

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Veröffentlicht in:	IDEAS Working Paper Series from RePEc
Hauptverfasser:	Aïd, René, Basei, Matteo, Callegaro, Giorgia, Campi, Luciano, Vargiolu, Tiziano
Format:	Paper
Sprache:	Englisch
Veröffentlicht:	St. Louis Federal Reserve Bank of St. Louis 01.02.2020
Schlagworte:	Equilibrium
Online-Zugang:	Volltext
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