Nash Equilibria of Risk-Sensitive Nonlinear Stochastic Differential Games

1999 ◽  
Vol 100 (3) ◽  
pp. 479-498 ◽  
Author(s):  
T. Başar
Keyword(s):  
Differential Games ◽  
Nash Equilibria ◽  
Stochastic Differential Games ◽  
Risk Sensitive

Blackwell-Nash Equilibria in Zero-Sum Stochastic Differential Games

2018 ◽  
pp. 169-193 ◽  
Author(s):  
Beatris Adriana Escobedo-Trujillo ◽  
Héctor Jasso-Fuentes ◽  
José Daniel López-Barrientos
Keyword(s):  
Differential Games ◽  
Nash Equilibria ◽  
Stochastic Differential Games ◽  
Zero Sum

scholarly journals Nash equilibria for nonzero-sum ergodic stochastic differential games

2017 ◽  
Vol 54 (4) ◽  
pp. 977-994 ◽  
Author(s):  
Samuel N. Cohen ◽  
Victor Fedyashov
Keyword(s):  
Nash Equilibrium ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Differential Games ◽  
Nash Equilibria ◽  
Backward Stochastic Differential Equations ◽  
Stochastic Differential Games ◽  
Ergodic Behaviour

Abstract We consider nonzero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of ergodic backward stochastic differential equations, and prove the existence of a Nash equilibrium under generalised Isaac's conditions. We also study the case of interacting players of different type.

scholarly journals Stochastic differential games with inside information

2016 ◽  
Vol 19 (03) ◽  
pp. 1650016 ◽  
Author(s):  
Olfa Draouil ◽  
Bernt Øksendal
Keyword(s):  
White Noise ◽  
Differential Games ◽  
Malliavin Calculus ◽  
Model Uncertainty ◽  
Nash Equilibria ◽  
Stochastic Calculus ◽  
Stochastic Differential Games ◽  
Inside Information ◽  
Jump Diffusions

We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noise, Hida–Malliavin calculus, forward integrals and the Donsker delta functional. We obtain a characterization of Nash equilibria of such games in terms of the corresponding Hamiltonians. This is used to study applications to insider games in finance, specifically optimal insider consumption and optimal insider portfolio under model uncertainty.

Risk-Sensitive Mean-Field Stochastic Differential Games

2011 ◽  
Vol 44 (1) ◽  
pp. 3222-3227 ◽  
Author(s):  
Hamidou Tembine ◽  
Quanyan Zhu ◽  
Tamer Basar
Keyword(s):  
Differential Games ◽  
Mean Field ◽  
Stochastic Differential Games ◽  
Risk Sensitive
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