| Issue |
ESAIM: COCV
Volume 19, Number 4, October-December 2013
|
|
|---|---|---|
| Page(s) | 1189 - 1208 | |
| DOI | https://doi.org/10.1051/cocv/2013051 | |
| Published online | 27 August 2013 | |
Nash equilibrium payoffs for stochastic differential games with reflection
Center for Mathematical Economics, Bielefeld University, Postfach 100131,
33501 Bielefeld, Germany
linqian1824@163.com
Received:
11
February
2012
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
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