{"title":"系数无界的马尔可夫非零和随机微分对策纳什平衡点的存在性","authors":"S. Hamadène, Rui Mu","doi":"10.1080/17442508.2014.915973","DOIUrl":null,"url":null,"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.","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"38","resultStr":"{\"title\":\"Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients\",\"authors\":\"S. Hamadène, Rui Mu\",\"doi\":\"10.1080/17442508.2014.915973\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":0,\"journal\":{\"name\":\"\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0,\"publicationDate\":\"2013-08-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"38\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1080/17442508.2014.915973\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/17442508.2014.915973","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients
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.