no. 9
Optimal control/Game theory
Bang–bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game
[Sur un jeu différentiel stochastique de somme non nulle avec contrôles de type bang–bang]

Présenté par : the Editorial Board

Hamadène, Said1 ; Mu, Rui1, 2
1 Université du Maine, LMM, avenue Olivier-Messiaen, 72085 Le Mans cedex 9, France
2 School of Mathematics, Shandong University, Jinan 250100, China
Comptes Rendus. Mathématique, Tome 352 (2014) no. 9, pp. 699-706.

Dans cette Note, nous résolvons un jeu différentiel stochastique de somme non nulle avec contrôles d'équilibre de type bang–bang, en utilisant les équations différentielles stochastiques rétrogrades (EDSRs). Le générateur est multi-dimensionnel et discontinu par rapport à z.

In this Note, we solve a nonzero-sum stochastic differential game (NZSDG) with bang–bang-type equilibrium controls by using backward stochastic differential equations (BSDEs). The generator is multi-dimensional and discontinuous with respect to z.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2014.06.011
Hamadène, Said 1 ; Mu, Rui 1, 2

1 Université du Maine, LMM, avenue Olivier-Messiaen, 72085 Le Mans cedex 9, France
2 School of Mathematics, Shandong University, Jinan 250100, China 
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Hamadène, Said; Mu, Rui. Bang–bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game. Comptes Rendus. Mathématique, Tome 352 (2014) no. 9, pp. 699-706. doi : 10.1016/j.crma.2014.06.011. http://www.numdam.org/articles/10.1016/j.crma.2014.06.011/

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