Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games

DOI10.1016/J.SPA.2020.07.003MaRDI QIDQ2229567zbMATH OpenOpenAlexFDO

Authors Rui Mu, Said Hamadène

Publication date 18 February 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.1214

zbMATH Keywords

backward stochastic differential equationsnonzero-sum stochastic differential gamesNash equilibrium point

Mathematics Subject Classification ID

Differential games and control (49N70) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Applications of optimal control and differential games (49N90) Stochastic games, stochastic differential games (91A15)

Abstract: In this paper, we study a nonzero-sum stochastic differential game in Markovian framework. We show the existence of the Nash equilibrium point which is discontinuous and of bang-bang type under natural conditions. The main tool is the notion of backward stochastic differential equations which, in our case, are multidimensional with discontinuous generators with respect to z component.

Recommendations

• Nonzero-Sum Stochastic Differential Games with Discontinuous Feedback
• Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs
• scientific article; zbMATH DE number 563682
• Nonzero Sum Stochastic Differential Games with Discounted Payoff Criterion: An Approximating Markov Chain Approach
• Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients

Cites work

• scientific article; zbMATH DE number 3843622 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 4125214 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1066318 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 3999814 (Why is no real title available?)
• scientific article; zbMATH DE number 3245077 (Why is no real title available?)
• A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
• A class of backward stochastic differential equations with discontinuous coefficients
• Adapted solution of a backward stochastic differential equation
• An Introduction to Partial Differential Equations
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Backward Stochastic Differential Equations in Finance
• Backward equations, stochastic control and zero-sum stochastic differential games
• Backward-forward SDE's and stochastic differential games
• Bang-bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game
• Bounds for the fundamental solution of a parabolic equation
• Control of McKean-Vlasov dynamics versus mean field games
• Existence and uniqueness of a Nash equilibrium feedback for a simple nonzero-sum differential game
• Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients
• Existence of Optimal Stochastic Control Laws
• Minimal supersolutions of BSDEs with lower semicontinuous generators
• Minimal supersolutions of convex BSDEs
• Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
• Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals
• Nash points for nonzero-sum stochastic differential games with separate Hamiltonians
• Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
• Nonzero-Sum Stochastic Differential Games with Discontinuous Feedback
• On Open- and Closed-Loop Bang-Bang Control in Nonzero-Sum Differential Games
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On the Instability of the Feedback Equilibrium Payoff in a Nonzero-Sum Differential Game on the Line
• One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators
• Probabilistic analysis of mean-field games
• Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• Stochastic differential games
• Stochastic games for \(N\) players
• Two different approaches to nonzero-sum stochastic differential games
• Zero-sum stochastic differential games and backward equations

Cited in

(7)

• Discontinuous value functions in time-optimal differential games
• Nonzero-Sum Stochastic Differential Games with Discontinuous Feedback
• Ordering stability of Nash equilibria for a class of differential games
• Existence and generic stability of open-loop Nash equilibria for noncooperative fuzzy differential games
• Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients
• Bang-bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game
• Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional

This page was built for publication: Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2229567)