Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
DOI10.1051/cocv/2023089arXiv2112.10213OpenAlexW4389392601MaRDI QIDQ6151940
Mohammed Mnif, Unnamed Author, M'hamed Gaigi, René Aïd
Publication date: 11 March 2024
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2112.10213
Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive control/observation systems (93C27)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Numerical approximation for a portfolio optimization problem under liquidity risk and costs
- Stochastic optimal control. The discrete time case
- Viscosity solutions of Hamilton-Jacobi equations
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Functional quantization of Gaussian processes
- Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
- A model of optimal portfolio selection under liquidity risk and price impact
- Functional quantization of a class of Brownian diffusions: a constructive approach
- Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
- Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities
- Weak Dynamic Programming Principle for Viscosity Solutions
- Optimal Control with State-Space Constraint. II
- User’s guide to viscosity solutions of second order partial differential equations
- Elliptic Partial Differential Equations of Second Order
- A policy iteration algorithm for nonzero-sum stochastic impulse games
- Stochastic differential equations. An introduction with applications.
This page was built for publication: Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
