A Class of Stochastic Games and Moving Free Boundary Problems

DOI10.1137/20M1322558zbMath1484.91033arXiv1809.03459OpenAlexW4221008554MaRDI QIDQ5065060

Wenpin Tang, Xin Guo, Renyuan Xu

Publication date: 18 March 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.03459

zbMATH Keywords

free boundary problemSkorokhod problemreflected Brownian motionMarkovian Nash equilibrium\(N\)-player gamesfinite fuel problemrank-dependent SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15)

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