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

Pub Date : 2013-08-27 DOI:10.1080/17442508.2014.915973
S. Hamadène, Rui Mu
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引用次数: 38

摘要

本文研究了马尔可夫框架下的非零和随机微分对策。我们证明了当漂移不再有界且仅满足线性增长条件时,博弈存在纳什平衡点。主要的工具是倒向随机微分方程的概念,在我们的例子中,它是多维的,具有连续系数和随机线性增长。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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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.
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