Nash equilibria for non zero-sum ergodic stochastic differential games

2015/11/09 by Cohen, Samuel N., Fedyashov, Victor
#49N70 #91A60 #93E20 #FOS: Economics and business #FOS: Mathematics #General Economics (econ.GN) #Optimization and Control (math.OC) #Probability (math.PR)

paper · doi:10.48550/arxiv.1511.02716

Abstract

In this paper we consider non zero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of Ergodic BSDEs, and prove the existence of a Nash equilibrium under the generalised Isaac's conditions. We also study the case of interacting players of different type.

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