A policy iteration algorithm for nonzero-sum stochastic impulse games
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods available, to the best of our knowledge. Our method relies on the...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2019-01-01
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| Series: | ESAIM: Proceedings and Surveys |
| Subjects: | |
| Online Access: | https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196502.pdf |