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Nash Equilibrium Payoffs for Stochastic Differential Games with two Reflecting Barriers

Part of:Stochastic analysisGame theory

Published online by Cambridge University Press:  22 February 2016

Qian Lin
Qian Lin*
Affiliation:
Wuhan University
*
∗ Postal address: School of Economics and Management, Wuhan University, Wuhan, 430072, China. Email address: linqian1824@163.com
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Abstract

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In this paper we study Nash equilibrium payoffs for nonzero-sum stochastic differential games with two reflecting barriers. We obtain an existence and a characterization of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations with two reflecting barriers.

Keywords

Nash equilibrium payoffstochastic differential gamebackward stochastic differential equation

MSC classification

Primary:60H10: Stochastic ordinary differential equations91A15: Stochastic games91A23: Differential games
Secondary:60H30: Applications of stochastic analysis (to PDE, etc.)90C39: Dynamic programming

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 47 , Issue 2 , June 2015, pp. 355 - 377
Copyright
© Applied Probability Trust 

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