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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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:	Journal Article
Publication:	Journal of Mathematical Analysis and Applications
Publisher:	Elsevier
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
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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