Existence of Nash Equilibrium Points for Markovian Nonzero-sum Stochastic Differential Games with Unbounded Coefficients
Optimization and Control
2014-08-06 v2 Probability
Abstract
This paper is related to nonzero-sum stochastic differential games in the Markovian framework. We show existence of a Nash equilibrium point for the game when the drift is no longer bounded and only satisfies a linear growth condition. The main tool is the notion of backward stochastic differential equations which, in our case, are multidimensional with continuous coefficient and stochastic linear growth.
Keywords
Cite
@article{arxiv.1308.5882,
title = {Existence of Nash Equilibrium Points for Markovian Nonzero-sum Stochastic Differential Games with Unbounded Coefficients},
author = {Said Hamadène and Rui Mu},
journal= {arXiv preprint arXiv:1308.5882},
year = {2014}
}