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arXiv · 1110.3896

Nash equilibrium payoffs for stochastic differential games with reflection

Qian Lin
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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.

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Qian Lin. 2013-03-21. Nash equilibrium payoffs for stochastic differential games with reflection. https://doi.org/10.1051/cocv%2F2013051

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