On the bang-bang type Nash equilibrium point for Markovian nonzero-sum stochastic differential game
Optimization and Control
2015-03-10 v2
Abstract
In this paper, we study a nonzero-sum stochastic differential game in Markovian framework. We show the existence of the Nash equilibrium point which is discontinuous and of bang-bang type under natural conditions. The main tool is the notion of backward stochastic differential equations which, in our case, are multidimensional with discontinuous generators with respect to z component.
Keywords
Cite
@article{arxiv.1412.1214,
title = {On the bang-bang type Nash equilibrium point for Markovian nonzero-sum stochastic differential game},
author = {Said Hamadène and Rui Mu},
journal= {arXiv preprint arXiv:1412.1214},
year = {2015}
}