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A nonzero-sum stochastic differential game in the orthant

Ghosh, Mrinal K and Kumar, Suresh K (2005) A nonzero-sum stochastic differential game in the orthant. In: Journal of Mathematical Analysis and Applications, 305 (1). pp. 158-174.

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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: Journal Article
Additional Information: Copyright of this article belongs to Elsevier.
Keywords: Reflecting diffusions; Discounted and average payoff; Nash equilibrium; Stationary strategies
Department/Centre: Division of Physical & Mathematical Sciences > Mathematics
Depositing User: H.S. Divakara
Date Deposited: 04 Mar 2008
Last Modified: 19 Sep 2010 04:43
URI: http://eprints.iisc.ac.in/id/eprint/13246

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