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

DOI10.1016/J.SPA.2011.08.011MaRDI QIDQ655329zbMATH OpenOpenAlexFDO

Authors Qian Lin

Publication date 4 January 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.1001

zbMATH Keywords

backward stochastic differential equationsNash equilibriumstochastic differential gamesbackward semigroups

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15)

Abstract: In this paper, we study Nash equilibrium payoffs for nonzero-sum stochastic differential games via the theory of backward stochastic differential equations. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined with the help of a doubly controlled backward stochastic differential equation. Our results extend former ones by Buckdahn, Cardaliaguet and Rainer (2004) and are based on a backward stochastic differential equation approach.

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Cited in

(17)

• Dynamic set values for nonzero-sum games with multiple equilibriums
• scientific article; zbMATH DE number 1066318 (Why is no real title available?)
• Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria
• BSDE approach to non-zero-sum stochastic differential games of control and stopping
• Retracted: ``Multidimensional viscosity solution theory of semi-linear partial differential equations
• Nash equilibrium payoffs for stochastic differential games with two reflecting barriers
• Two different approaches to nonzero-sum stochastic differential games
• Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition
• Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria
• Nash equilibrium payoffs for stochastic differential games with reflection
• Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals
• Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients
• Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional bsdes
• Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
• Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games
• Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.

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