Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games

DOI10.1080/17442508.2018.1540627MaRDI QIDQ5087020zbMATH OpenOpenAlexWikidataFDO

Authors Said Hamadène, Paola Mannucci

Publication date 8 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.02357

zbMATH Keywords

backward SDEHJBI system of equationsNash equilibrium pointNash payoffnonzero-sum stochastic differential gameSobolev space

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)

Abstract: In this paper we deal with the problem of existence of a smooth solution of the Hamilton-Jacobi-Bellman-Isaacs (HJBI for short) system of equations associated with nonzero-sum stochastic differential games. We consider the problem in unbounded domains either in the case of continuous generators or for discontinuous ones. In each case we show the existence of a smooth solution of the system. As a consequence, we show that the game has smooth Nash payoffs which are given by means of the solution of the HJBI system and the stochastic process which governs the dynamic of the controlled system.

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Cited in

(8)

• Regularity for nonlinear stochastic games
• Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games
• Smooth Solutions of systems of quasilinear parabolic equations
• Approximate Public-Signal Correlated Equilibria for Nonzero-Sum Differential Games
• Bang-bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game
• Dynamic set values for nonzero-sum games with multiple equilibriums
• Markov approximations of nonzero-sum differential games
• Linear-quadratic-singular stochastic differential games and applications

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