Bang-bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game

DOI10.1016/J.CRMA.2014.06.011MaRDI QIDQ466184zbMATH OpenOpenAlexFDO

Authors Said Hamadène, Rui Mu

Publication date 24 October 2014

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.2014.06.011

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)

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Cites work

• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Existence and uniqueness of a Nash equilibrium feedback for a simple nonzero-sum differential game
• scientific article; zbMATH DE number 1066318 (Why is no real title available?)
• scientific article; zbMATH DE number 3999814 (Why is no real title available?)
• Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
• Nonzero-Sum Stochastic Differential Games with Discontinuous Feedback
• On Open- and Closed-Loop Bang-Bang Control in Nonzero-Sum Differential Games
• On the Instability of the Feedback Equilibrium Payoff in a Nonzero-Sum Differential Game on the Line

Cited in

(14)

• Radner equilibrium and systems of quadratic BSDEs with discontinuous generators
• Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games
• Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional
• On bang-bang solutions of stochastic differential games
• Stochastic games for fuel follower problem: \(N\) versus mean field game
• Approximate Public-Signal Correlated Equilibria for Nonzero-Sum Differential Games
• Optimal auction duration: a price formation viewpoint
• A Class of Stochastic Games and Moving Free Boundary Problems
• Dynamic set values for nonzero-sum games with multiple equilibriums
• Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games
• Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional bsdes
• AHEAD: \textit{ad hoc} electronic auction design
• Set values of dynamic nonzero sum games and set-valued Hamiltonians
• Linear-quadratic-singular stochastic differential games and applications

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