\(N\)-person differential games governed by semilinear stochastic evolution systems (Q1180331)

The model problem consists of the governing equation for \(x=x(t)\): \(dx=(Ax+g(t,x,v))dt+\sigma(t,x)dW(t)\), \(x(0)=x_ 0\in H\), where \(H\) is a Hilbert space, \(A\) generates a \(C_ 0\) semigroup, and \(v=v(t)=(v_ 1(t),\dots,v_ N(t))\) is an open loop control function. The player \(v_ j\), \(j=1,\dots,N\), is attempting to minimize his cost functional \[ J_ j(v)=E \int^ T_ 0 L^ j(t,x(t),v(t))dt+E h^ j(x(T)). \] This is the \(N\)-person differential game governed by semilinear stochastic evolutions. The minimax principle, i.e., the necessary condition for the existence of a Nash equilibrium, is proved. In the particular case of linear dynamics with quadratic cost functionals necessary and sufficient conditions for both open and closed loop Nash equilibria are derived.