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Nash Equilibria in Two-Player Differential Games with Impulse Control

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25 jan. 2023   11h00 — 12h00

Utsav Sadana Faculté de gestion Desautels, Université McGill, Canada

Utsav Sadana

We study a class of deterministic finite-horizon two-player nonzero-sum differential games where players are endowed with different controls. We assume that Player 1 uses piecewise-continuous controls, while Player 2 uses impulse controls. For this class of games, we seek to derive conditions for the existence of feedback Nash equilibrium strategies for the players. More specifically, we provide a verification theorem for identifying such equilibrium strategies, using the Hamilton-Jacobi-Bellman (HJB) equations for Player 1 and the quasi-variational inequalities (QVIs) for Player 2. Further, we show that the equilibrium number of interventions by Player 2 is upper bounded. Furthermore, we specialize the obtained results to a scalar two-player linear-quadratic differential game. In this game, Player 1's objective is to drive the state variable towards a specific target value, and Player 2 has a similar objective with a different target value. We provide, for the first time, an analytical characterization of the feedback Nash equilibrium in a linear-quadratic differential game with impulse control. We illustrate our results using numerical experiments. (joint work with Puduru Viswanadha Reddy and Georges Zaccour)

Olivier Bahn responsable

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