Nash equilibrium payoffs for stochastic differential games with reflection
Probability
2014-01-20 v3 Optimization and Control
Abstract
In this paper, we investigate Nash equilibrium payoffs for nonzero-sum stochastic differential games with reflection. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations.
Keywords
Cite
@article{arxiv.1110.3896,
title = {Nash equilibrium payoffs for stochastic differential games with reflection},
author = {Qian Lin},
journal= {arXiv preprint arXiv:1110.3896},
year = {2014}
}
Comments
arXiv admin note: text overlap with arXiv:1106.1001