Title :
One Kind of Stochastic Nonzero-sum Game Problem and BSDEs
Author :
Wu Zhen ; Yu Zhiyong
Author_Institution :
Shandong Univ., Jinan
Abstract :
In this paper, we deal with one kind of stochastic nonzero-sum differential game problem for N players. Using the solutions of the backward stochastic differential equations and Malliavin calculus technique, we give the explicit form of a Nash equilibrium point.
Keywords :
differential equations; differential games; stochastic games; Malliavin calculus; Nash equilibrium point; backward stochastic differential equations; stochastic nonzero-sum differential game problem; Algebra; Calculus; Differential equations; Extraterrestrial measurements; Filtration; Mathematics; Measurement standards; Nash equilibrium; Stochastic processes; Stochastic systems; Backward stochastic differential equations; Malliavin calculus; Nash equilibrium point; Nonzero-sum differential game;
Conference_Titel :
Control Conference, 2007. CCC 2007. Chinese
Conference_Location :
Hunan
Print_ISBN :
978-7-81124-055-9
DOI :
10.1109/CHICC.2006.4347017
