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arXiv · 1511.02716

Nash equilibria for non zero-sum ergodic stochastic differential games

Samuel N. Cohen·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.

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BibTeXRIS

Samuel N. Cohen, Victor Fedyashov. 2015-11-09. Nash equilibria for non zero-sum ergodic stochastic differential games. https://arxiv.org/abs/1511.02716

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