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Dynamic Games and Applications

Erschienen in:

15.04.2020

Risk-Sensitive Nonzero-Sum Stochastic Differential Game with Unbounded Coefficients

verfasst von: Said Hamadène, Rui Mu

Erschienen in: Dynamic Games and Applications | Ausgabe 1/2021

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Abstract

This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players towards risks, and the utilities are of exponential forms. We show the existence of a Nash equilibrium point for the game when the drift is no longer bounded and only satisfies a linear growth condition. The main tool is the notion of backward stochastic differential equation, which in our case, is multidimensional with continuous generator involving both a quadratic term and a stochastic linear growth component with respect to the volatility process.

Vorheriger Artikel Symmetric Markovian Games of Commons with Potentially Sustainable Endogenous Growth

Nächster Artikel Unique Ergodicity of Deterministic Zero-Sum Differential Games

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Titel: Risk-Sensitive Nonzero-Sum Stochastic Differential Game with Unbounded Coefficients
verfasst von: Said Hamadène
Rui Mu
Publikationsdatum: 15.04.2020
Verlag: Springer US
Erschienen in: Dynamic Games and Applications / Ausgabe 1/2021
Print ISSN: 2153-0785
Elektronische ISSN: 2153-0793
DOI: https://doi.org/10.1007/s13235-020-00353-0

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