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Stochastic Games for N Players

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Abstract

The objective of this paper is to present a useful application of the theory of regularity of systems of nonlinear partial differential equations to the solution of stochastic differential games with N players. It is particularly interesting to notice that the structure of games fits perfectly with what is requested to prove the regularity property which is needed.

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References

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Authors and Affiliations

  1. CEREMADE, University of Paris Dauphine, France

    A. Bensoussan (Professor)

  2. CNES, Paris, France

    A. Bensoussan (Professor)

  3. Institüt für Angewandte Mathematik, Universität Bonn, Bonn, Germany

    J. Frehse (Professor)

Authors
  1. A. Bensoussan
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  2. J. Frehse
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Bensoussan, A., Frehse, J. Stochastic Games for N Players. Journal of Optimization Theory and Applications 105, 543–565 (2000). https://doi.org/10.1023/A:1004637022496

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  • DOI: https://doi.org/10.1023/A:1004637022496

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