Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games

Said Hamadène and Rui Mu

Stochastic Processes and their Applications, 2020, vol. 130, issue 11, 6901-6926

Abstract: In this paper, we study a nonzero-sum stochastic differential game in the Markovian framework. We show the existence of a discontinuous Nash equilibrium point for this game. The main tool is the notion of backward stochastic differential equations which, in our case, are multidimensional with discontinuous generators with respect to z component.

Keywords: Nonzero-sum stochastic differential games; Nash equilibrium point; Backward stochastic differential equations (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:11:p:6901-6926

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DOI: 10.1016/j.spa.2020.07.003

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