On a system of PDEs associated to a game with a varying number of players

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 L^p((0,T );W^2,p(O))∩W^1,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.