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.
Mots clés : backward stochastic differential equations, dynamic programming principle, Nash equilibrium payoffs, stochastic differential games
@article{COCV_2013__19_4_1189_0,
author = {Lin, Qian},
title = {Nash equilibrium payoffs for stochastic differential games with reflection},
journal = {ESAIM: Control, Optimisation and Calculus of Variations},
pages = {1189--1208},
publisher = {EDP-Sciences},
volume = {19},
number = {4},
year = {2013},
doi = {10.1051/cocv/2013051},
mrnumber = {3182685},
zbl = {1283.49043},
language = {en},
url = {http://www.numdam.org/articles/10.1051/cocv/2013051/}
}
TY - JOUR AU - Lin, Qian TI - Nash equilibrium payoffs for stochastic differential games with reflection JO - ESAIM: Control, Optimisation and Calculus of Variations PY - 2013 SP - 1189 EP - 1208 VL - 19 IS - 4 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/cocv/2013051/ DO - 10.1051/cocv/2013051 LA - en ID - COCV_2013__19_4_1189_0 ER -
%0 Journal Article %A Lin, Qian %T Nash equilibrium payoffs for stochastic differential games with reflection %J ESAIM: Control, Optimisation and Calculus of Variations %D 2013 %P 1189-1208 %V 19 %N 4 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/cocv/2013051/ %R 10.1051/cocv/2013051 %G en %F COCV_2013__19_4_1189_0
Lin, Qian. Nash equilibrium payoffs for stochastic differential games with reflection. ESAIM: Control, Optimisation and Calculus of Variations, Tome 19 (2013) no. 4, pp. 1189-1208. doi : 10.1051/cocv/2013051. http://www.numdam.org/articles/10.1051/cocv/2013051/
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