Nonzero-sum impulse games with regime switching

Lv，Siyu1; Xiong，Jie2

2022-11-01

10.1016/j.automatica.2022.110439

AUTOMATICA   Impact Factor & Quartile

0005-1098

1873-2836

This paper is concerned with a two-player nonzero-sum stochastic differential game, where both players use impulse controls and the state process evolves as a regime switching diffusion. Based on a system of variational inequalities, a verification theorem as a sufficient criterion for optimality is established. Nash equilibrium strategies for the two players, indicating when and how it is optimal to intervene, are given in terms of the obstacle parts of the variational inequalities.

Impulse control Markov chain Stochastic differential game Variational inequalities Verification theorem

SCI ; EI

English

Others

National Natural Science Foundation of China[11801072];National Natural Science Foundation of China[11831010];National Natural Science Foundation of China[11971267];Fundamental Research Funds for the Central Universities[2242021R41175];National Natural Science Foundation of China[61873325];Natural Science Foundation of Jiangsu Province[BK20180354];Southern University of Science and Technology[Y01286120];

Automation & Control Systems ; Engineering

Automation & Control Systems ; Engineering, Electrical & Electronic

WOS:000859030000002

PERGAMON-ELSEVIER SCIENCE LTD

20222612269875

Game theory ; Variational techniques

Control Systems:731.1 ; Calculus:921.2 ; Probability Theory:922.1 ; Systems Science:961

ENGINEERING

2-s2.0-85132505385

Scopus

1.School of Mathematics,Southeast University,Nanjing,211189,China
2.Department of Mathematics and National Center for Applied Mathematics (Shenzhen),Southern University of Science and Technology,Shenzhen,518055,China

Lv，Siyu,Xiong，Jie. Nonzero-sum impulse games with regime switching[J]. AUTOMATICA,2022,145.

Lv，Siyu,&Xiong，Jie.(2022).Nonzero-sum impulse games with regime switching.AUTOMATICA,145.

Lv，Siyu,et al."Nonzero-sum impulse games with regime switching".AUTOMATICA 145(2022).