Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals

Qian Lin

Stochastic Processes and their Applications, 2015, vol. 125, issue 12, 4405-4454

Abstract: In this paper, we investigate Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games with coupled nonlinear cost functionals. We obtain an existence theorem and a characterization theorem for Nash equilibrium payoffs. The novelty of this paper is to study Nash equilibrium payoffs for coupled cost functionals.

Keywords: Stochastic differential games; Nash equilibrium payoffs; Coupled cost functionals; Backward Stochastic differential equations (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spa.2015.07.004

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