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 equationNash equilibrium payoffstochastic differential games

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Differential games and control (49N70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic programming (90C39) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)

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Cites work

• A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations and integral-partial differential equations
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with reflection and Dynkin games
• BSDEs with two reflecting barriers: the general result
• scientific article; zbMATH DE number 4125214 (Why is no real title available?)
• 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)

• 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
• A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals

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