NASH EQUILIBRIA FOR NONZERO-SUM ERGODIC STOCHASTIC DIFFERENTIAL GAMES

作者:Cohen Samuel N; Fedyashov Victor
来源:Journal of Applied Probability, 2017, 54(4): 977-994.
DOI:10.1017/jpr.2017.48

摘要

<jats:title>Abstract</jats:title> <jats:p> We consider nonzero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of ergodic backward stochastic differential equations, and prove the existence of a Nash equilibrium under generalised Isaac's conditions. We also study the case of interacting players of different type. </jats:p>

  • 出版日期2017-12

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