Nash equilibria for non zero-sum ergodic stochastic differential games
Probability
2017-06-16 v2 Optimization and Control
Economics
Abstract
In this paper we consider non zero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of Ergodic BSDEs, and prove the existence of a Nash equilibrium under the generalised Isaac's conditions. We also study the case of interacting players of different type.
Cite
@article{arxiv.1511.02716,
title = {Nash equilibria for non zero-sum ergodic stochastic differential games},
author = {Samuel N. Cohen and Victor Fedyashov},
journal= {arXiv preprint arXiv:1511.02716},
year = {2017}
}