Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients
Year: 2014
Type: article
Abstract: This paper is related to non-zero-sum stochastic differential games in the Markovian framework. We show existence of a Nash equilibrium point for the game when the drift is no longer bounded and only satisfies a linear growth condition. The main tool is the notion of backward stochastic differential equations which, in our case, are multidimensional with continuous coefficient and stochastic linear growth.
Source: Stochastics
Authors: Said Hamadène, Rui Mu
Institutions: Le Mans Université, Shandong University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2165609671