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arXiv · 1308.5882

Existence of Nash Equilibrium Points for Markovian Nonzero-sum Stochastic Differential Games with Unbounded Coefficients

Said Hamadène·Rui Mu
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Abstract

This paper is related to nonzero-sum stochastic differential games in the Markovian framework. We show existence of a Nash equilibrium point for the game when the drift is no longer bounded and only satisfies a linear growth condition. The main tool is the notion of backward stochastic differential equations which, in our case, are multidimensional with continuous coefficient and stochastic linear growth.

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Said Hamadène, Rui Mu. 2014-08-05. Existence of Nash Equilibrium Points for Markovian Nonzero-sum Stochastic Differential Games with Unbounded Coefficients. https://doi.org/10.1080/17442508.2014.915973

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