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Nonzero-sum stochastic differential games with impulse controls : a verification theorem with applications
10 references·3 citing·39 second hop
Nonzero-sum stochastic differential games with impulse controls : a verification theorem with applications (2020)Nonzero-sum stochastic differential games…Weakly Chained Matrices, Policy Iteration, and Impulse Control (2016)Weakly Chained Matrices, Poli…Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities (2013)Stochastic Differential Games…Applied Stochastic Control of Jump Diffusions (2007)Applied Stochastic Control of…Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games (2004)Nash Equilibrium Payoffs for …Stochastic Differential Equations (2003)Stochastic Differential Equat…Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves (2000)Classical and Impulse Stochas…Zero-sum Markov games with stopping and impulsive strategies (1982)Zero-sum Markov games with st…Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems (1977)Nonzero-Sum Stochastic Differ…Stochastic games and variational inequalities (1973)Stochastic games and variatio…The existence of value in differential games (1972)The existence of value in dif…Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls (2021)Nonzero-Sum Stochastic Games …Nash equilibria in nonzero-sum differential games with impulse control (2021)Nash equilibria in nonzero-su…On a strategic model of pollution control (2018)On a strategic model of pollu…Nonlinear variational inequalities and differential games with stopping times (1974)Sur un problème de dynkin (1977)Contrôle impulsionnel des processus de Markov (1978)On a randomized strategy in Neveu's stopping problem (1985)A Nonzero-Sum Extension of Dynkin's Stopping Problem (1987)Dynkin's Games and Israeli Options (2013)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Applied Stochastic Control of Jump Diffusions (2005)A Primer on Portfolio Choice with Small Transaction Costs (2017)A Zero-Sum Stochastic Differential Game with Impulses, Precommitment, and Unrestricted Cost Functions (2017)Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities (2018)A Leader-Follower Stochastic Linear Quadratic Differential Game (2002)Importance Sampling, Large Deviations, and Differential Games (2004)A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications (2010)Theory of games and economic behavior (2019)Zero-sum stochastic differential games and backward equations (1995)Backward stochastic differential equations with reflection and Dynkin games (1996)Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations (2008)Cooperative equilibria in differential games (1986)Nonzero sum linear–quadratic stochastic differential games and backward–forward equations (1999)Some Recent Aspects of Differential Game Theory (2010)Existence of Nash Equilibrium Points for Markovian Nonzero-sum Stochastic Differential Games with Unbounded Coefficients (2014)Linear–quadratic stochastic two-person nonzero-sum differential games: Open-loop and closed-loop Nash equilibria (2018)Nonzero-Sum Stochastic Games (1999)Optimal Stopping Games for Markov Processes (2008)The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options (2010)Dynkin games and martingale methods (1984)Non zero-sum stopping games of symmetric Markov processes (1987)Perpetual convertible bonds in jump-diffusion models (2005)Asset Prices and Trading Volume Under Fixed Transactions Costs (2001)OPTIMAL DIVIDEND POLICY WITH MEAN‐REVERTING CASH RESERVOIR (2006)The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (2012)The Role of Portfolio Constraints in the International Propagation of Shocks (2008)Stochastic Differential Equations (2014)Numerical Solution of Stochastic Differential Equations (2016)Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)Optimal high-frequency trading with limit and market orders (2012)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)
this work references cited by second hop

References

  • 2003Stochastic Differential Equations2,090 cited
  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 1972The existence of value in differential games294 cited
  • 1977Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems108 cited
  • 2000Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves107 cited
  • 2004Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games99 cited
  • 1973Stochastic games and variational inequalities76 cited
  • 1982Zero-sum Markov games with stopping and impulsive strategies73 cited
  • 2013Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities55 cited
  • 2016Weakly Chained Matrices, Policy Iteration, and Impulse Control47 cited

Cited by

  • 2018On a strategic model of pollution control33 cited
  • 2021Nash equilibria in nonzero-sum differential games with impulse control31 cited
  • 2021Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls25 cited

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