Stochastics Seminar - Matteo Basei
Nonzero-sum stochastic differential games with impulse controls
We consider a general class of nonzero-sum impulsive games with N players. By means of a suitable system of quasi-variationalÌý inequalities, we provide a verification theorem for the equilibriumÌý strategies and the value functions of the game. In particular, we focus on the regularity conditions required by the theorem. We thenÌý present some practical applications. Finally, we focus on some ongoingÌý extensionsÌýand generalizations.