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Nash equilibria for nonzero-sum ergodic stochastic differential games
Published online by Cambridge University Press: 30 November 2017
Abstract
We consider nonzero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of ergodic backward stochastic differential equations, and prove the existence of a Nash equilibrium under generalised Isaac's conditions. We also study the case of interacting players of different type.
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- Copyright © Applied Probability Trust 2017
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