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
收藏
页码：1189 / 1208
页数：20
相关论文
共 12 条
[1]   Nash equilibrium payoffs for nonzero-sum stochastic differential games [J].
Buckdahn, R ;
Cardaliaguet, P ;
Rainer, C .
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2004, 43 (02) :624-642
[2]   Some Recent Aspects of Differential Game Theory [J].
Buckdahn, R. ;
Cardaliaguet, P. ;
Quincampoix, M. .
DYNAMIC GAMES AND APPLICATIONS, 2011, 1 (01) :74-114
[3]  
Buckdahn R., ARXIVMATH0702131
[4]  
Buckdahn R., ARXIV07071133
[5]  
El Karoui N, 1997, ANN PROBAB, V25, P702
[6]   Backward stochastic differential equations in finance [J].
El Karoui, N ;
Peng, S ;
Quenez, MC .
MATHEMATICAL FINANCE, 1997, 7 (01) :1-71
[7]   ON THE EXISTENCE OF VALUE-FUNCTIONS OF 2-PLAYER, ZERO-SUM STOCHASTIC DIFFERENTIAL-GAMES [J].
FLEMING, WH ;
SOUGANIDIS, PE .
INDIANA UNIVERSITY MATHEMATICS JOURNAL, 1989, 38 (02) :293-314
[8]  
Hamadene S., 1997, PITMAN RES NOTES MAT, V364, P161
[9]  
Lin Q., ARXIV11083695V1
[10]   A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals [J].
Lin, Qian .
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2012, 122 (01) :357-385
12