Ghosh, Mrinal K. ; Suresh Kumar, K. (2005) A nonzero-sum stochastic differential game in the orthant Journal of Mathematical Analysis and Applications, 305 (1). pp. 158-174. ISSN 0022-247X
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Official URL: http://linkinghub.elsevier.com/retrieve/pii/S00222...
Related URL: http://dx.doi.org/10.1016/j.jmaa.2004.11.002
Abstract
We study a nonzero-sum stochastic differential game where the state is a controlled reflecting diffusion in the nonnegative orthant. Under certain conditions, we establish the existence of Nash equilibria in stationary strategies for both discounted and average payoff criteria.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Reflecting Diffusions; Discounted and Average Payoff; Nash Equilibrium; Stationary Strategies |
| ID Code: | 11967 |
| Deposited On: | 10 Nov 2010 06:40 |
| Last Modified: | 02 Jun 2011 07:40 |
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