Nash equilibrium payoffs for stochastic differential games with reflection
Lin Q (2013)
ESAIM: Control, Optimisation and Calculus of Variations 19(4): 1189-1208.
Zeitschriftenaufsatz
| Veröffentlicht | Englisch
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Abstract / Bemerkung
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.
Stichworte
stochastic differential games;
dynamic programming;
Backward stochastic differential equations;
Nash equilibrium payoffs;
principle
Erscheinungsjahr
2013
Zeitschriftentitel
ESAIM: Control, Optimisation and Calculus of Variations
Band
19
Ausgabe
4
Seite(n)
1189-1208
ISSN
1292-8119
eISSN
1262-3377
Page URI
https://pub.uni-bielefeld.de/record/2642149
Zitieren
Lin Q. Nash equilibrium payoffs for stochastic differential games with reflection. ESAIM: Control, Optimisation and Calculus of Variations. 2013;19(4):1189-1208.
Lin, Q. (2013). Nash equilibrium payoffs for stochastic differential games with reflection. ESAIM: Control, Optimisation and Calculus of Variations, 19(4), 1189-1208. https://doi.org/10.1051/cocv/2013051
Lin, Qian. 2013. “Nash equilibrium payoffs for stochastic differential games with reflection”. ESAIM: Control, Optimisation and Calculus of Variations 19 (4): 1189-1208.
Lin, Q. (2013). Nash equilibrium payoffs for stochastic differential games with reflection. ESAIM: Control, Optimisation and Calculus of Variations 19, 1189-1208.
Lin, Q., 2013. Nash equilibrium payoffs for stochastic differential games with reflection. ESAIM: Control, Optimisation and Calculus of Variations, 19(4), p 1189-1208.
Q. Lin, “Nash equilibrium payoffs for stochastic differential games with reflection”, ESAIM: Control, Optimisation and Calculus of Variations, vol. 19, 2013, pp. 1189-1208.
Lin, Q.: Nash equilibrium payoffs for stochastic differential games with reflection. ESAIM: Control, Optimisation and Calculus of Variations. 19, 1189-1208 (2013).
Lin, Qian. “Nash equilibrium payoffs for stochastic differential games with reflection”. ESAIM: Control, Optimisation and Calculus of Variations 19.4 (2013): 1189-1208.
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arXiv: 1110.3896
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