NASH EQUILIBRIA FOR NONZERO-SUM ERGODIC STOCHASTIC DIFFERENTIAL GAMES

被引：4

作者：

Cohen, Samuel N. ^{[1
]}

Fedyashov, Victor ^{[1
]}

机构：

[1] Univ Oxford, Math Inst, Oxford OX2 6GG, England

来源：

JOURNAL OF APPLIED PROBABILITY | 2017年 / 54卷 / 04期

关键词：

Ergodic game; Nash equilibrium; BSDE; EQUATIONS; BSDES;

D O I：

10.1017/jpr.2017.48

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：

We consider nonzero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of ergodic backward stochastic differential equations, and prove the existence of a Nash equilibrium under generalised Isaac's conditions. We also study the case of interacting players of different type.

引用

页码：977 / 994

页数：18

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