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Nash equilibrium payoffs for stochastic differential games with reflection
ESAIM: Control, Optimisation and Calculus of Variations, Tome 19 (2013) no. 4, pp. 1189-1208 Cet article a éte moissonné depuis la source Numdam

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In this paper, we investigate Nash equilibrium payoffs for nonzero-sum stochastic differential games with reflection. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations.

DOI : 10.1051/cocv/2013051
Classification : 49L25, 60H10, 60H30, 90C39
Keywords: backward stochastic differential equations, dynamic programming principle, Nash equilibrium payoffs, stochastic differential games 
@article{COCV_2013__19_4_1189_0,
     author = {Lin, Qian},
     title = {Nash equilibrium payoffs for stochastic differential games with reflection},
     journal = {ESAIM: Control, Optimisation and Calculus of Variations},
     pages = {1189--1208},
     year = {2013},
     publisher = {EDP-Sciences},
     volume = {19},
     number = {4},
     doi = {10.1051/cocv/2013051},
     mrnumber = {3182685},
     zbl = {1283.49043},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/cocv/2013051/}
}
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Lin, Qian. Nash equilibrium payoffs for stochastic differential games with reflection. ESAIM: Control, Optimisation and Calculus of Variations, Tome 19 (2013) no. 4, pp. 1189-1208. doi: 10.1051/cocv/2013051

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