Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has hindered their proliferation. Semi-analytical approaches make...

This book presents the latest findings on stochastic dynamic programming models and on solving optimal control problems in networks. It includes the authors’ new findings on determining the optimal solution of discrete optimal control problems in networks and on solving game variants of Markov...

This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the dynamics of the underlying stocks depends on the correlated stochastic factors. The uncertainty stems from the probability measure chosen by an investor to evaluate the...