A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals (Q655329)

This paper considers a backward stochastic differential equation (BSDE) approach to discuss two-player, non-zero-sum, stochastic differential games. The main advantage of the BSDE approach is its flexibility in accommodating non-Markovian control processes and controlled state processes. In the paper, the authors establish an existence theorem and a characterization theorem for the Nash equilibrium payoffs of the games by invoking the use of doubly controlled BSDEs.