Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs

DOI10.1016/J.CRMA.2009.04.033MaRDI QIDQ2272015zbMATH OpenOpenAlexFDO

Authors Zhen Wu, J.-P. Lepeltier, Zhiyong Yu

Publication date 5 August 2009

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2009.04.033

zbMATH Keywords

Malliavin calculusbackward stochastic differential equationsNash equilibriumstochastic gamesBSDEs

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15)

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Cites work

• scientific article; zbMATH DE number 1066318 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Equilibrium points in n -person games
• Existence for BSDE with superlinear–quadratic coefficient
• Stochastic games for \(N\) players
• Zero-sum stochastic differential games and backward equations

Cited in

(10)

• Some recent aspects of differential game theory
• Bang-bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game
• Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition
• Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games
• A stochastic maximum principle for a stochastic differential game of a mean-field type
• Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional bsdes
• Approximate Public-Signal Correlated Equilibria for Nonzero-Sum Differential Games
• A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
• Backward stochastic viability and related properties on \(Z\) for BSDEs with applications
• Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients

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