Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games
From MaRDI portal
(Redirected from Publication:5087020)
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.
Recommendations
- Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
- Nonzero-Sum Stochastic Differential Games with Discontinuous Feedback
- Nash points for nonzero-sum stochastic differential games with separate Hamiltonians
- Nash equilibria for nonzero-sum ergodic stochastic differential games
- Nonzero Sum Stochastic Differential Games with Discounted Payoff Criterion: An Approximating Markov Chain Approach
Cites work
- A financial market with interacting investors: does an equilibrium exist?
- Bang-bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game
- Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients
- scientific article; zbMATH DE number 3843622 (Why is no real title available?)
- scientific article; zbMATH DE number 3720745 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 3505982 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 563682 (Why is no real title available?)
- scientific article; zbMATH DE number 1734466 (Why is no real title available?)
- scientific article; zbMATH DE number 1066318 (Why is no real title available?)
- scientific article; zbMATH DE number 3277871 (Why is no real title available?)
- scientific article; zbMATH DE number 3289754 (Why is no real title available?)
- Nash points for nonzero-sum stochastic differential games with separate Hamiltonians
- Nonzero-Sum Stochastic Differential Games with Discontinuous Feedback
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- Regularity theory for systems of partial differential equations with Neumann boundary conditions.
- Stochastic differential games
- Stochastic differential games: Occupation measure based approach
- Stochastic games for N players
- The Cauchy Problem of Linear Parabolic Equations with Discontinuous and Unbounded Coefficients
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
This page was built for publication: Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5087020)