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Two Different Approaches to Nonzero-Sum Stochastic Differential Games

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Abstract

We make the link between two approaches to Nash equilibria for nonzero-sum stochastic differential games: the first one using backward stochastic differential equations and the second one using strategies with delay. We prove that, when both exist, the two notions of Nash equilibria coincide.

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  1. Departement de Mathematiques, Universite de Bretagne Occidentale, 6 avenue Victor-le-Gorgeu - CS 93837, 29238 Brest cedex 3, France

    Catherine Rainer

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  1. Catherine Rainer
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Correspondence to Catherine Rainer.

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Rainer, C. Two Different Approaches to Nonzero-Sum Stochastic Differential Games. Appl Math Optim 56, 131–144 (2007). https://doi.org/10.1007/s00245-007-0892-7

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  • DOI: https://doi.org/10.1007/s00245-007-0892-7

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