Università degli Studi di Padova

“Nonzero-sum stochastic Impulse Games with an application in competitive retail energy markets”

Venerdì 28 Maggio 4 Giugno 2021, ore 16:00 15:00 - Zoom - Mohamed Mnif (University of Monastir)


We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. We derive the corresponding system of quasi-variational inequalities (QVIs in short). We prove, by means of the weak dynamic programming principle for the stochastic differential game, that the value function of each player is the unique viscosity solution to the associated QVIs system.

We present a probabilistic numerical scheme which approximates the solution of the QVIs system and we give some numerical results.

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Seminars in Probability and Finance