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...

Celý popis

Podrobná bibliografia

Vydané v:	IDEAS Working Paper Series from RePEc
Hlavní autori:	Aïd, René, Basei, Matteo, Callegaro, Giorgia, Campi, Luciano, Vargiolu, Tiziano
Médium:	Paper
Jazyk:	English
Vydavateľské údaje:	St. Louis Federal Reserve Bank of St. Louis 01.02.2020
Predmet:	Equilibrium
On-line prístup:	Získať plný text
Tagy:	Pridať tag Žiadne tagy, Buďte prvý, kto otaguje tento záznam!