Nash equilibrium payoffs for stochastic differential games with two reflecting barriers
DOI10.1239/AAP/1435236979zbMATH Open1329.49070OpenAlexW1580658794MaRDI QIDQ5262445FDOQ5262445
Authors: Qian Lin 
Publication date: 15 July 2015
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1435236979
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Dynamic programming (90C39) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15)
Cites Work
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- Stochastic Differential Utility
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- Backward Stochastic Differential Equations in Finance
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations with reflection and Dynkin games
- Backward stochastic differential equations and integral-partial differential equations
- Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
- BSDEs with two reflecting barriers: the general result
- Some recent aspects of differential game theory
- Some norm estimates for semimartingales
- Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
- A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
- Nash equilibrium payoffs for stochastic differential games with reflection
Cited In (4)
- A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
- Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
- Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition
- Nash equilibrium payoffs for stochastic differential games with reflection
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