A nonzero-sum stochastic differential game in the orthant (Q1771389)
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| Language | Label | Description | Also known as |
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| English | A nonzero-sum stochastic differential game in the orthant |
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A nonzero-sum stochastic differential game in the orthant (English)
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21 April 2005
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A nonzero-sum stochastic differential game is studied where the state equation is governed by a controlled stochastic differential equation in the nonnegative orthant with reflecting boundary conditions. Conditions for the existence of a Nash equilibrium in stationary strategies are given for both discounted and average payoff criteria.
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reflecting diffusion
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discounted payoff
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average payoff
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Nash equilibrium
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stationary strategy
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differential game
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