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Stochastic Games for N Players

Author

Listed:
  • A. Bensoussan

    (University of Paris Dauphine
    CNES)

  • J. Frehse

    (Universität Bonn)

Abstract

The objective of this paper is to present a useful application of the theory of regularity of systems of nonlinear partial differential equations to the solution of stochastic differential games with N players. It is particularly interesting to notice that the structure of games fits perfectly with what is requested to prove the regularity property which is needed.

Suggested Citation

  • A. Bensoussan & J. Frehse, 2000. "Stochastic Games for N Players," Journal of Optimization Theory and Applications, Springer, vol. 105(3), pages 543-565, June.
    • Handle: RePEc:spr:joptap:v:105:y:2000:i:3:d:10.1023_a:1004637022496
    DOI: 10.1023/A:1004637022496
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    Citations

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    Cited by:

    1. A. Bensoussan & K. C. J. Sung & S. C. P. Yam & S. P. Yung, 2016. "Linear-Quadratic Mean Field Games," Journal of Optimization Theory and Applications, Springer, vol. 169(2), pages 496-529, May.
    2. Qian Lei & Chi Seng Pun, 2021. "Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games," Papers 2112.14409, arXiv.org, revised Sep 2023.
    3. Paola Mannucci, 2014. "Nash Points for Nonzero-Sum Stochastic Differential Games with Separate Hamiltonians," Dynamic Games and Applications, Springer, vol. 4(3), pages 329-344, September.
    4. Deng, Chao & Zeng, Xudong & Zhu, Huiming, 2018. "Non-zero-sum stochastic differential reinsurance and investment games with default risk," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1144-1158.
    5. 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.
    6. Lin, Qian, 2015. "Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4405-4454.
    7. 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.
    8. Xing, Hao & Žitković, Gordan, 2018. "A class of globally solvable Markovian quadratic BSDE systems and applications," LSE Research Online Documents on Economics 73440, London School of Economics and Political Science, LSE Library.
    9. Guan, Guohui & Liang, Zongxia, 2016. "A stochastic Nash equilibrium portfolio game between two DC pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 237-244.

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