Nash equilibria for non zero-sum ergodic stochastic differential games

Samuel N. Cohen and Victor Fedyashov

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Abstract: In this paper we consider non zero-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 BSDEs, and prove the existence of a Nash equilibrium under the generalised Isaac's conditions. We also study the case of interacting players of different type.

Date: 2015-11, Revised 2017-06
New Economics Papers: this item is included in nep-gth and nep-hpe
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1511.02716

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