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nash equilibrium payoffs

ESAIM: Control, Optimisation and Calculus of Variations (1)

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Nash equilibrium payoffs for stochastic differential games withreflection
Qian Lin
Journal:

ESAIM: Control, Optimisation and Calculus of Variations / Volume 19 / Issue 4 / October 2013

Published online by Cambridge University Press:

27 August 2013, pp. 1189-1208

Print publication:

October 2013
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In this paper, we investigate Nash equilibrium payoffs for nonzero-sum stochasticdifferential games with reflection. We obtain an existence theorem and a characterizationtheorem of Nash equilibrium payoffs for nonzero-sum stochastic differential games withnonlinear cost functionals defined by doubly controlled reflected backward stochasticdifferential equations.