NASH EQUILIBRIUM PAYOFFS FOR STOCHASTIC DIFFERENTIAL GAMES WITH REFLECTION

被引：4

作者：

Lin, Qian ^{[1
]}

机构：

[1] Univ Bielefeld, Ctr Math Econ, D-33501 Bielefeld, Germany

来源：

ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS | 2013年 / 19卷 / 04期

关键词：

Backward stochastic differential equations; dynamic programming principle; Nash equilibrium payoffs; stochastic differential games;

D O I：

10.1051/cocv/2013051

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, we investigate Nash equilibrium payoffs for nonzero-sum stochastic differential games with reflection. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations.

引用

页码：1189 / 1208

页数：20

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