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

DOI10.1016/J.SPA.2015.07.004zbMATH Open1333.60124arXiv1108.3695OpenAlexW1643406061MaRDI QIDQ744970FDOQ744970

Authors: Qian Lin 

Publication date: 12 October 2015

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

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].

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

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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)

Cites Work

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Cited In (7)

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

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