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

被引：6
|
作者：
Lin, Qian [1 ]
机构：
[1] Wuhan Univ, Sch Econ & Management, Wuhan, Peoples R China
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2015年 / 125卷 / 12期
基金：
中国国家自然科学基金;
关键词：
Stochastic differential games; Nash equilibrium payoffs; Coupled cost functionals; Backward Stochastic differential equations;
D O I：
10.1016/j.spa.2015.07.004
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 investigate Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games with coupled nonlinear cost functionals. We obtain an existence theorem and a characterization theorem for Nash equilibrium payoffs. The novelty of this paper is to study Nash equilibrium payoffs for coupled cost fuctionals. (C) 2015 Published by Elsevier B.V.
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页码：4405 / 4454
页数：50
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