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hal.structure.identifierLaboratoire de Finance des Marchés d'Energie [FiME Lab]
hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorAïd, René
dc.contributor.authorBasei, Matteo
hal.structure.identifierDipartimento di Matematica Pura e Applicata [Padova]
dc.contributor.authorCallegaro, Giorgia
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
hal.structure.identifierCentre de Recherche en Économie et Statistique [CREST]
hal.structure.identifierDepartment of Statistics - London School of Economics [LSE]
hal.structure.identifierLaboratoire de Finance des Marchés d'Energie [FiME Lab]
hal.structure.identifierDepartment of Mathematics "Federigo Enriques"
dc.contributor.authorCampi, Luciano
hal.structure.identifierDipartimento di Matematica Pura e Applicata [Padova]
dc.contributor.authorVargiolu, Tiziano
dc.date.accessioned2021-09-27T12:30:23Z
dc.date.available2021-09-27T12:30:23Z
dc.date.issued2020-02
dc.identifier.issn0364-765X
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/21839
dc.language.isoenen
dc.subjectStochastic differential gameen
dc.subjectimpulse controlen
dc.subjectNash equilibriumen
dc.subjectquasi-variational inequalityen
dc.subject.ddc330.1en
dc.subject.classificationjelC73en
dc.subject.classificationjelC62en
dc.titleNonzero-sum stochastic differential games with impulse controls: a verification theorem with applicationsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversity of California, Berkeley;United States
dc.description.abstractenWe 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 some Nash equilibrium. As an application, we study an impulse game with a one-dimensional state variable, following a real-valued scaled Brownian motion, and two players with linear and symmetric running payoffs. We fully characterize a family of Nash equilibria and provide explicit expressions for the corresponding equilibrium strategies and payoffs. We also prove some asymptotic results with respect to the intervention costs. Finally, we consider two further nonsymmetric examples where a Nash equilibrium is found numerically.en
dc.relation.isversionofjnlnameMathematics of Operations Research
dc.relation.isversionofjnlvol45en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2020-02
dc.relation.isversionofjnlpages205-232en
dc.relation.isversionofdoi10.1287/moor.2019.0989en
dc.relation.isversionofjnlpublisherINFORMS - Institute for Operations Research and the Management Sciencesen
dc.subject.ddclabelThéorie économiqueen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2021-09-14T08:07:15Z
hal.identifierhal-03355609
hal.version1
dc.subject.classificationjelHALC.C6.C62en
dc.subject.classificationjelHALC.C7.C73en
hal.date.transferred2021-09-27T12:30:28Z
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut
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