Nash equilibria for non zero-sum ergodic stochastic differential games
We consider non zero-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 BSDEs, and prove the existence of a Nash equilibrium under the generalised Isaac's conditions. We also s...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Published: |
Applied Probability Trust
2017
|
| _version_ | 1826262663137591296 |
|---|---|
| author | Cohen, S Fedyashov, V |
| author_facet | Cohen, S Fedyashov, V |
| author_sort | Cohen, S |
| collection | OXFORD |
| description | We consider non zero-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 BSDEs, and prove the existence of a Nash equilibrium under the generalised Isaac's conditions. We also study the case of interacting players of different type. |
| first_indexed | 2024-03-06T19:39:37Z |
| format | Journal article |
| id | oxford-uuid:20388bc4-f626-41c0-bbfe-0677542277ea |
| institution | University of Oxford |
| last_indexed | 2024-03-06T19:39:37Z |
| publishDate | 2017 |
| publisher | Applied Probability Trust |
| record_format | dspace |
| spelling | oxford-uuid:20388bc4-f626-41c0-bbfe-0677542277ea2022-03-26T11:26:17ZNash equilibria for non zero-sum ergodic stochastic differential gamesJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:20388bc4-f626-41c0-bbfe-0677542277eaSymplectic Elements at OxfordApplied Probability Trust2017Cohen, SFedyashov, VWe consider non zero-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 BSDEs, and prove the existence of a Nash equilibrium under the generalised Isaac's conditions. We also study the case of interacting players of different type. |
| spellingShingle | Cohen, S Fedyashov, V Nash equilibria for non zero-sum ergodic stochastic differential games |
| title | Nash equilibria for non zero-sum ergodic stochastic differential games |
| title_full | Nash equilibria for non zero-sum ergodic stochastic differential games |
| title_fullStr | Nash equilibria for non zero-sum ergodic stochastic differential games |
| title_full_unstemmed | Nash equilibria for non zero-sum ergodic stochastic differential games |
| title_short | Nash equilibria for non zero-sum ergodic stochastic differential games |
| title_sort | nash equilibria for non zero sum ergodic stochastic differential games |
| work_keys_str_mv | AT cohens nashequilibriafornonzerosumergodicstochasticdifferentialgames AT fedyashovv nashequilibriafornonzerosumergodicstochasticdifferentialgames |