Nonzero-sum stochastic differential games with stopping times and free boundary problemsc
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 275-327 |
| Journal / Publication | Transactions of the American Mathematical Society |
| Volume | 231 |
| Issue number | 2 |
| Publication status | Published - 1977 |
| Externally published | Yes |
Link(s)
Abstract
One is given a diffusion process and two payoffs which depend on the process and on two stopping times tj, t2. Two players are to choose their respective stopping times t1? t2 so as to achieve a Nash equilibrium point. The problem whether such times exist is reduced to finding a “regular” solution (iq, of a quasi-variational inequality. Existence of a solution is established in the stationary case and, for one Space dimension, in the nonstationary case; for the latter situation, the solution is shown to be regular if the game is of zero sum. © 1977 American Mathematical Society.
Research Area(s)
- Free boundary problem, Nash point, Nonzero-sum game, Payoff, Quasi-variational inequality, Stochastic differential equations, Stochastic differential games, Stopping time, Variational inequality, Zero-sum game, © 1977 American Mathematical Society
Citation Format(s)
Nonzero-sum stochastic differential games with stopping times and free boundary problemsc. / Bensoussan, Alain; Friedman, Avner.
In: Transactions of the American Mathematical Society, Vol. 231, No. 2, 1977, p. 275-327.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
