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- W2912718721 abstract "We consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for the Nash equilibria (NEs) of the game. We then consider the limit situation of $N to infty$, that is, a suitable mean-field game (MFG) with impulse controls. We show that under appropriate technical conditions, the MFG is an $epsilon$-NE approximation to the $N$-player game, with $epsilon=frac{1}{sqrt{N}}$. As an example, we analyze in details a class of stochastic games which extends the classical cash management problem to the game setting. In particular, we characterize the NEs for its two-player case and compare the results to the single-player case, showing the impact of competition on the player's optimal strategy, with sensitivity analysis of the model parameters." @default.
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- W2912718721 date "2019-01-23" @default.
- W2912718721 modified "2023-09-27" @default.
- W2912718721 title "Nonzero-sum stochastic games with impulse controls" @default.
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