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Two Different Approaches to Nonzero-Sum Stochastic Differential Games

Two Different Approaches to Nonzero-Sum Stochastic Differential Games We make the link between two approaches to Nash equilibria for nonzero-sum stochastic differential games: the first one using backward stochastic differential equations and the second one using strategies with delay. We prove that, when both exist, the two notions of Nash equilibria coincide. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Two Different Approaches to Nonzero-Sum Stochastic Differential Games

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References (11)

Publisher
Springer Journals
Copyright
Copyright © 2007 by Springer
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Methods
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/s00245-007-0892-7
Publisher site
See Article on Publisher Site

Abstract

We make the link between two approaches to Nash equilibria for nonzero-sum stochastic differential games: the first one using backward stochastic differential equations and the second one using strategies with delay. We prove that, when both exist, the two notions of Nash equilibria coincide.

Journal

Applied Mathematics and Optimization – Springer Journals

Published: Jun 1, 2007

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