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

backward stochastic differential equationsBSDEsMalliavin calculusNash equilibriumstochastic games

Mathematics Subject Classification ID

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

Recommendations

• Nash points for nonzero-sum stochastic differential games with separate Hamiltonians
• Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional bsdes
• Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
• Nash-equilibrium in stochastic differential games
• A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals

Cites work

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

Cited in

(11)

• A stochastic maximum principle for a stochastic differential game of a mean-field type
• Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games
• Backward stochastic viability and related properties on \(Z\) for BSDEs with applications
• Approximate Public-Signal Correlated Equilibria for Nonzero-Sum Differential Games
• 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
• Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional bsdes
• Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients
• Some recent aspects of differential game theory
• A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
• Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs

This page was built for publication: Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2272015)