Nash Equilibrium Payoffs for Stochastic Differential Games with two Reflecting Barriers

DOI10.1239/aap/1435236979zbMath1329.49070OpenAlexW1580658794MaRDI QIDQ5262445

Qian Lin

Publication date: 15 July 2015

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1435236979

zbMATH Keywords

backward stochastic differential equationstochastic differential gamesNash equilibrium payoff

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games

Cites Work

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• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance
• Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
• Nash equilibrium payoffs for stochastic differential games with reflection

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