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Nash equilibria for nonzero-sum ergodic stochastic differential games

  • Samuel N. Cohen (a1) and Victor Fedyashov (a1)

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

Corresponding author

* Postal address: Mathematical Institute, University of Oxford, Oxford OX2 6GG, UK.
** Email address: cohens@maths.ox.ac.uk

References

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Nash equilibria for nonzero-sum ergodic stochastic differential games

  • Samuel N. Cohen (a1) and Victor Fedyashov (a1)

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