Nash equilibrium approximation of some class of stochastic differential games: a combined Chebyshev spectral collocation method with policy iteration

DOI10.1016/j.cam.2019.05.014zbMath1418.91067OpenAlexW2945590141MaRDI QIDQ2315865

Z. Nikooeinejad, Mohammad Heydari

Publication date: 26 July 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.05.014

zbMATH Keywords

policy iterationChebyshev spectral collocation methodNash equilibrium solutionnonzero-sum stochastic gamesoperational matrix of derivativecoupled HJ equations

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Numerical solution of two-point BVPs in infinite-horizon optimal control theory: a combined quasilinearization method with exponential Bernstein functions ⋮ A numerical iterative method for solving two-point BVPs in infinite-horizon nonzero-sum differential games: economic applications ⋮ Unnamed Item ⋮ A numerical treatment based on Bernoulli Tau method for computing the open-loop Nash equilibrium in nonlinear differential games ⋮ Convergence analysis of an iterative numerical algorithm for solving nonlinear stochastic Itô-Volterra integral equations with \(m\)-dimensional Brownian motion ⋮ Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions

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