Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals

DOI10.1016/J.SPA.2015.07.004MaRDI QIDQ744970zbMATH OpenOpenAlexFDO

Authors Qian Lin

Publication date 12 October 2015

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

Full work available at URL https://arxiv.org/abs/1108.3695

zbMATH Keywords

backward stochastic differential equationsstochastic differential gamescoupled cost functionalsNash equilibrium payoffs

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) 2-person games (91A05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Stochastic games, stochastic differential games (91A15)

Abstract: In this paper we investigate Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games whose cost functionals are defined by a system of coupled backward stochastic differential equations. We obtain an existence theorem and a characterization theorem for Nash equilibrium payoffs. For this end the problem is described equivalently by a stochastic differential game with jumps. But, however, unlike the work by Buckdahn, Hu and Li [9], here the important tool of a dynamic programming principle for stopping times has to be developed. Moreover, we prove that the lower and upper value functions are the viscosity solutions of the associated coupled systems of PDEs of Isaacs type, respectively. Our results generalize those by Buckdahn, Cardaliaguet and Rainer [7] and by Lin [16].

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Cites work

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Cited in

(7)

• Jump equilibria in public-good differential games with a single state variable
• Dynamic equilibrium of market making with price competition
• An approximate Nash equilibrium for pure jump Markov games of mean-field-type on continuous state space
• Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition
• Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games
• A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
• Retracted: ``Multidimensional viscosity solution theory of semi-linear partial differential equations

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