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

Alain Bensoussan, Jens Frehse, Christine Grü

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)623-639
JournalCommunications in Mathematical Sciences
Volume13
Issue number3
DOIs
Publication statusPublished - 2015

Research Keywords

  • Bellman systems
  • Nash points
  • Regularity for PDEs
  • Stochastic differential games

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