کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155887 | 958780 | 2012 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
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چکیده انگلیسی
In this paper, we study Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games via the theory of backward stochastic differential equations. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games with nonlinear cost functionals defined with the help of doubly controlled backward stochastic differential equations. Our results extend former ones by Buckdahn et al. (2004) [3] and are based on a backward stochastic differential equation approach.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 1, January 2012, Pages 357–385
Journal: Stochastic Processes and their Applications - Volume 122, Issue 1, January 2012, Pages 357–385
نویسندگان
Qian Lin,