Nonzero-sum stochastic differential games with impulse controls and applications to retail energy markets. (arXiv:1605.00039v1 [math.PR])

We study the notion of Nash equilibrium in a general nonzero-sum impulse game for two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, the system of quasi-variational inequalities identifying the value functions and the optimal strategies of the two players.