Stochastic differential games: the potential approach

被引：2

作者：

Fonseca-Morales, A. ^{[1
]}

Hernandez-Lerma, O. ^{[2
]}

机构：

[1] Univ Nacl Autonoma Mexico, Inst Math, Mexico City, DF, Mexico

[2] IPN, Dept Math, CINVESTAV, Mexico City, DF, Mexico

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2020年 / 92卷 / 07期

关键词：

Stochastic differential games; Nash equilibria; potential games; optimal control; maximum principle; SUFFICIENT CONDITIONS;

D O I：

10.1080/17442508.2019.1691208

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A noncooperative stochastic differential game (SDG) is said to be a potential game if there exists an associated stochastic control problem whose optimal solutions are Nash equilibria for the given game. In this paper, we give sufficient conditions for an SDG to be a potential game. To this end, our main tools are suitable versions of the stochastic maximum principle. Our results are illustrated with several examples, including team games and separable games, which have Pareto-optimal Nash equilibria.

引用

页码：1125 / 1138

页数：14

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