Nash equilibrium payoffs for stochastic differential games with reflection
Center for Mathematical Economics, Bielefeld University, Postfach 100131,
33501 Bielefeld, Germany
Revised: 25 September 2012
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.
Mathematics Subject Classification: 49L25 / 60H10 / 60H30 / 90C39
Key words: Backward stochastic differential equations / dynamic programming principle / Nash equilibrium payoffs / stochastic differential games
© EDP Sciences, SMAI, 2013