Continuous-time stochastic games of fixed duration
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The article considers \(n\)-player noncooperative non-zero-sum stochastic games on a finite time horizon. An example with non-existing of Markov equilibrium is given and it is shown that approximate Markov equilibria and equilibria correlated via a public signal always exist. By identifying the given game with a differential game and using the appropriate Hamilton-Jacobi-Bellman equation, sufficient conditions for a Nash equilibrium are given.
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Cited in
(16)- Continuous-time games of timing
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