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arXiv · 1412.1214

On the bang-bang type Nash equilibrium point for Markovian nonzero-sum stochastic differential game

Said Hamadène·Rui Mu
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Abstract

In this paper, we study a nonzero-sum stochastic differential game in Markovian framework. We show the existence of the Nash equilibrium point which is discontinuous and of bang-bang type under natural conditions. 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.

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Said Hamadène, Rui Mu. 2015-03-09. On the bang-bang type Nash equilibrium point for Markovian nonzero-sum stochastic differential game. https://arxiv.org/abs/1412.1214

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