Risk-sensitive Nonzero-sum Stochastic Differential Game with Unbounded Coefficients
Optimization and Control
2014-12-04 v1
Abstract
This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players toward risk and the utility is of exponential form. We show the 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 equation, which in our case, is multidimensional with continuous generator involving both a quadratic term of Z and a stochastic linear growth component with respect to Z.
Cite
@article{arxiv.1412.1213,
title = {Risk-sensitive Nonzero-sum Stochastic Differential Game with Unbounded Coefficients},
author = {Said Hamadène and Rui Mu},
journal= {arXiv preprint arXiv:1412.1213},
year = {2014}
}