Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals
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DOI: 10.1016/j.spa.2015.07.004
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References listed on IDEAS
- A. Bensoussan & J. Frehse, 2000. "Stochastic Games for N Players," Journal of Optimization Theory and Applications, Springer, vol. 105(3), pages 543-565, June.
- R. Buckdahn & P. Cardaliaguet & M. Quincampoix, 2011. "Some Recent Aspects of Differential Game Theory," Dynamic Games and Applications, Springer, vol. 1(1), pages 74-114, March.
- Royer, Manuela, 2006. "Backward stochastic differential equations with jumps and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1358-1376, October.
- repec:dau:papers:123456789/6046 is not listed on IDEAS
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Cited by:
- Hamadène, Said & Mu, Rui, 2020. "Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6901-6926.
- Klimsiak, Tomasz, 2021. "Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games," Stochastic Processes and their Applications, Elsevier, vol. 134(C), pages 208-239.
- Jialiang Luo & Harry Zheng, 2021. "Dynamic Equilibrium of Market Making with Price Competition," Dynamic Games and Applications, Springer, vol. 11(3), pages 556-579, September.
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Keywords
Stochastic differential games; Nash equilibrium payoffs; Coupled cost functionals; Backward Stochastic differential equations;All these keywords.
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