Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients

DOI10.1080/17442508.2014.915973zbMath1321.49064arXiv1308.5882OpenAlexW3105327397MaRDI QIDQ5265776

Said Hamadène, Rui Mu

Publication date: 29 July 2015

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.5882

zbMATH Keywords

backward stochastic differential equationsNash equilibrium pointnon-zero-sum stochastic differential games

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Applications of optimal control and differential games (49N90) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

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Dynamic quantum games ⋮ Dynamic Set Values for Nonzero-Sum Games with Multiple Equilibriums ⋮ Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games ⋮ Rogue traders ⋮ Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria ⋮ One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators ⋮ Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games ⋮ Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients ⋮ Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional bsdes ⋮ Nash equilibria for nonzero-sum ergodic stochastic differential games ⋮ Two-player zero-sum stochastic differential games with random horizon

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