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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorAïd, René
hal.structure.identifierLaboratoire de Probabilités et Modèles Aléatoires [LPMA]
dc.contributor.authorBasei, Matteo
hal.structure.identifierDipartimento di Matematica Pura e Applicata [Padova]
dc.contributor.authorCallegaro, Giorgia
hal.structure.identifierDepartment of Statistics - London School of Economics [LSE]
dc.contributor.authorCampi, Luciano
hal.structure.identifierDipartimento di Matematica Pura e Applicata [Padova]
dc.contributor.authorVargiolu, Tiziano
dc.date.accessioned2019-09-03T08:44:32Z
dc.date.available2019-09-03T08:44:32Z
dc.date.issued2019
dc.identifier.issn0364-765X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19643
dc.language.isoenen
dc.subjectstochastic differential gameen
dc.subjectimpulse controlen
dc.subjectNash equilibriumen
dc.subjectquasi-variational inequalityen
dc.subject.ddc330.1en
dc.subject.classificationjelC.C7.C73en
dc.titleNonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applicationsen
dc.typeArticle accepté pour publication ou publié
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.isversionofjnldate2019
dc.relation.isversionofdoi10.1287/moor.2019.0989en
dc.relation.isversionofjnlpublisherINFORMSen
dc.subject.ddclabelThéorie économiqueen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-08-30T11:56:38Z
hal.identifierhal-02276874*
hal.version1*
hal.author.functionaut
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hal.author.functionaut
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