A policy iteration algorithm for nonzero-sum stochastic impulse games Conference Contributions uri icon

event

  • CEMRACS 2017: Numerical methods for stochastic models: control, uncertainty quantification, mean-field

event place

  • Marsella

country

  • FRANCIA

participation category

  • COMUNICACIÓN

main title

  • ESAIM: Proceedings and Surveys: CEMRACS 2017, Numerical methods for stochastic models: control, uncertainty quantification, mean-field, Marseille, France, July 17 - August 25, 2017

edition country

  • FRANCIA

publication date

  • 2019

start page

  • 27

end page

  • 45

isbn

  • 2267-3059

subjects

  • Mathematics

keywords

  • stochastic impulse game; nonzero-sum game; nash equilibrium; policy iteration; howard's algorithm; quasi-variational inequality