Zero-sum and nonzero-sum differential games without Isaacs condition

DOI10.1051/COCV/2016044MaRDI QIDQ5269850zbMATH OpenOpenAlexFDO

Authors Juan Li, Wenqiang Li

Publication date 28 June 2017

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.04989

zbMATH Keywords

asymmetric informationIsaacs conditionNash equilibrium payoffsFenchel transformationzero-sum and nonzero-sum differential game

Mathematics Subject Classification ID

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

Abstract: In this paper we study the zero-sum and nonzero-sum differential games with not assuming Isaacs condition. Along with the partition $pi$ of the time interval $[0,T]$, we choose the suitable random non-anticipative strategy with delay to study our differential games with asymmetric information. Using Fenchel transformation, we prove that the limits of the upper value function $W^{p}i$ and lower value function $V^{p}i$ coincide when the mesh of partition $pi$ tends to 0. Moreover, we give a characterization for the Nash equilibrium payoff (NEP, for short) of our nonzero-sum differential games without Isaacs condition, then we prove the existence of the NEP of our games. Finally, by considering all the strategies along with all partitions, we give a new characterization for the value of our zero-sum differential game with asymmetric information under some equivalent Isaacs condition.

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Cited in

(3)

• Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
• Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition
• Differential games with asymmetric information and without Isaacs' condition

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