Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games

被引：3

作者：

Hamadene, Said ^{[1
]}

Mu, Rui ^{[2
,3
]}

机构：

[1] Univ Maine, LMM, F-72085 Le Mans 9, France

[2] Soochow Univ, Ctr Financial Engn, Suzhou 215006, Peoples R China

[3] Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2020年 / 130卷 / 11期

基金：

中国国家自然科学基金;

关键词：

Nonzero-sum stochastic differential games; Nash equilibrium point; Backward stochastic differential equations; MINIMAL SUPERSOLUTIONS; EXISTENCE; PAYOFFS; BSDES; EQUATIONS; FEEDBACK;

D O I：

10.1016/j.spa.2020.07.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we study a nonzero-sum stochastic differential game in the Markovian framework. We show the existence of a discontinuous Nash equilibrium point for this game. The main tool is the notion of backward stochastic differential equations which, in our case, are multidimensional with discontinuous generators with respect to z component. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：6901 / 6926

页数：26

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