Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals

DOI10.1016/j.spa.2015.07.004zbMath1333.60124arXiv1108.3695OpenAlexW1643406061MaRDI QIDQ744970

Qian Lin

Publication date: 12 October 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.3695

zbMATH Keywords

backward stochastic differential equationsstochastic differential gamescoupled cost functionalsNash equilibrium payoffs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) 2-person games (91A05) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition ⋮ Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games ⋮ Retracted: ``Multidimensional viscosity solution theory of semi-linear partial differential equations ⋮ Dynamic equilibrium of market making with price competition

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