Bang–bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game

Said Hamadène; Rui Mu

doi:10.1016/j.crma.2014.06.011

Optimal control/Game theory

Bang–bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game
[Sur un jeu différentiel stochastique de somme non nulle avec contrôles de type bang–bang]

Présenté par : the Editorial Board

Said Hamadène ¹ ; Rui Mu ^1,²

¹ Université du Maine, LMM, avenue Olivier-Messiaen, 72085 Le Mans cedex 9, France
² School of Mathematics, Shandong University, Jinan 250100, China

Comptes Rendus. Mathématique, Volume 352 (2014) no. 9, pp. 699-706.

Résumé
Abstract

Dans cette Note, nous résolvons un jeu différentiel stochastique de somme non nulle avec contrôles d'équilibre de type bang–bang, en utilisant les équations différentielles stochastiques rétrogrades (EDSRs). Le générateur est multi-dimensionnel et discontinu par rapport à z.

In this Note, we solve a nonzero-sum stochastic differential game (NZSDG) with bang–bang-type equilibrium controls by using backward stochastic differential equations (BSDEs). The generator is multi-dimensional and discontinuous with respect to z.

Reçu le : 2014-02-12
Accepté le : 2014-06-20
Publié le : 2014-07-29

DOI : 10.1016/j.crma.2014.06.011

Affiliations des auteurs :

Said Hamadène ¹ ; Rui Mu ^{1, 2}

¹ Université du Maine, LMM, avenue Olivier-Messiaen, 72085 Le Mans cedex 9, France
² School of Mathematics, Shandong University, Jinan 250100, China

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     title = {Bang{\textendash}bang-type {Nash} equilibrium point for {Markovian} nonzero-sum stochastic differential game},
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Said Hamadène; Rui Mu. Bang–bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game. Comptes Rendus. Mathématique, Volume 352 (2014) no. 9, pp. 699-706. doi : 10.1016/j.crma.2014.06.011. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2014.06.011/

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