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Nonzero sum stochastic differential games with discounted payoff criterion: An approximating Markov chain approach

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Title Nonzero sum stochastic differential games with discounted payoff criterion: An approximating Markov chain approach
 
Creator KUMAR, KS
 
Subject numerical approximations
average payoff
state-space
equilibria
existence
controlled diffusions
approximating markov chain
discounted payoff criteria
nash equilibrium
 
Description We develop a new constructive method for proving the existence of Nash equilibrium for a class of nonzero sum stochastic differential games. Under certain usual assumptions, we prove the existence of Nash equilibrium for discounted payoff criteria. A novel feature of our method is that it allows us to compute Nash equilibrium for a large class of stochastic differential games.
 
Publisher SIAM PUBLICATIONS
 
Date 2011-08-29T05:24:57Z
2011-12-26T12:58:26Z
2011-12-27T05:48:21Z
2011-08-29T05:24:57Z
2011-12-26T12:58:26Z
2011-12-27T05:48:21Z
2008
 
Type Article
 
Identifier SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 47(1), 374-395
0363-0129
http://dx.doi.org/10.1137/060650623
http://dspace.library.iitb.ac.in/xmlui/handle/10054/11976
http://hdl.handle.net/10054/11976
 
Language en