Nash equilibrium payoffs for stochastic differential games with two reflecting barriers

DOI10.1239/AAP/1435236979MaRDI QIDQ5262445zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

backward stochastic differential equationstochastic differential gamesNash equilibrium payoff

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 4125214 (Why is no real title available?)
• A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
• Adapted solution of a backward stochastic differential equation
• BSDEs with two reflecting barriers: the general result
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and integral-partial differential equations
• Backward stochastic differential equations with reflection and Dynkin games
• Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
• Nash equilibrium payoffs for stochastic differential games with reflection
• Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
• Some norm estimates for semimartingales
• Some recent aspects of differential game theory
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• Stochastic Differential Utility

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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