Article contents
Nash equilibrium payoffs for stochastic differential games with reflection
Published online by Cambridge University Press: 27 August 2013
Abstract
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.
Keywords
- Type
- Research Article
- Information
- ESAIM: Control, Optimisation and Calculus of Variations , Volume 19 , Issue 4 , October 2013 , pp. 1189 - 1208
- Copyright
- © EDP Sciences, SMAI, 2013
References
- 4
- Cited by