TY - JOUR
T1 - On a system of PDEs associated to a game with a varying number of players
AU - Bensoussan, Alain
AU - Frehse, Jens
AU - Grü, Christine
PY - 2015
Y1 - 2015
N2 - We consider a general Bellman type system of parabolic partial differential equations with a special coupling in the zero order terms. We show the existence of solutions in Lp((0,T );W2,p(O))∩W1,p((0,T )×O) by establishing suitable a priori bounds. The system is related to a certain non zero sum stochastic differential game with a maximum of two players. The players control a diffusion in order to minimise a certain cost functional. During the game it is possible that present players may die or a new player may appear. We assume that the death, respectively the birth time of a player is exponentially distributed with intensities that depend on the diffusion and the controls of the players who are alive.
AB - We consider a general Bellman type system of parabolic partial differential equations with a special coupling in the zero order terms. We show the existence of solutions in Lp((0,T );W2,p(O))∩W1,p((0,T )×O) by establishing suitable a priori bounds. The system is related to a certain non zero sum stochastic differential game with a maximum of two players. The players control a diffusion in order to minimise a certain cost functional. During the game it is possible that present players may die or a new player may appear. We assume that the death, respectively the birth time of a player is exponentially distributed with intensities that depend on the diffusion and the controls of the players who are alive.
KW - Bellman systems
KW - Nash points
KW - Regularity for PDEs
KW - Stochastic differential games
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UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84929933584&origin=recordpage
U2 - 10.4310/CMS.2015.v13.n3.a2
DO - 10.4310/CMS.2015.v13.n3.a2
M3 - RGC 21 - Publication in refereed journal
SN - 1539-6746
VL - 13
SP - 623
EP - 639
JO - Communications in Mathematical Sciences
JF - Communications in Mathematical Sciences
IS - 3
ER -