Open-loop and closed-loop Nash equilibria for the LQ stochastic difference game

DOI10.1016/J.CAM.2023.115746MaRDI QIDQ6489258zbMATH OpenFDO

Authors Wenhui Gao, Yaning Lin

Publication date 19 April 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2023.115746

zbMATH Keywords

closed-loop Nash equilibriumclosed-loop representationopen-loop Nash equilibriumstochastic difference game

Mathematics Subject Classification ID

Stochastic difference equations (39A50) 2-person games (91A05) Stochastic games, stochastic differential games (91A15)

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Cites work

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• A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise
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• Non-cooperative games
• Nonzero-sum impulse games with regime switching
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Cited in

(3)

• Open-loop and closed-loop local and remote stochastic nonzero-sum game with inconsistent information structure
• Open-loop and closed-loop saddle points of infinite dimensional linear-quadratic stochastic differential games with Poisson jumps
• Two-player LQ Stackelberg difference game with open-loop strategy under stochastic discrete-time dynamics in finite horizon

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