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...

Full description

Bibliographic Details

Published in:	IDEAS Working Paper Series from RePEc
Main Authors:	Aïd, René, Basei, Matteo, Callegaro, Giorgia, Campi, Luciano, Vargiolu, Tiziano
Format:	Paper
Language:	English
Published:	St. Louis Federal Reserve Bank of St. Louis 01.02.2020
Subjects:	Equilibrium
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!