Nash equilibrium payoffs for stochastic differential games with reflection

Details Nash equilibrium payoffs for stochastic differential games with reflection Nash equilibrium payoffs for stochastic differential games with reflection

2011-10-18

arxiv.org/abs/1110.3896v1

Mathematics

Probability

Scientific paper

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.

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