  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
recently introduced characterization of the value functions and Nash
equilibrium via a system of quasi-variational inequalities. While our algorithm
is heuristic and we do not provide a convergence analysis, numerical tests show
that it performs convincingly in a wide range of situations, including the only
analytically solvable example available in the literature at the time of
writing.
