Two Different Approaches to Nonzero-Sum Stochastic Differential Games

Journal Article · Fri Jun 15 00:00:00 EDT 2007 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-007-0892-7· OSTI ID:21067402

Rainer, Catherine ^[1]

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1. Departement de Mathematiques, Universite de Bretagne Occidentale, 6 avenue Victor-le-Gorgeu - CS 93837 (France)

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.

• OSTI ID: 21067402
• Journal Information: Applied Mathematics and Optimization, Vol. 56, Issue 1; Other Information: DOI: 10.1007/s00245-007-0892-7; Copyright (c) 2007 Springer; www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
DIFFERENTIAL EQUATIONS
EQUILIBRIUM
GAME THEORY
STOCHASTIC PROCESSES