TY - JOUR
T1 - Infinite-horizon non-zero-sum stochastic differential games with additive structure
AU - Jasso-Fuentes, Héctor
AU - López-Barrientos, José Daniel
AU - Escobedo-Trujillo, Beatris Adriana
N1 - Publisher Copyright:
© The authors 2015.
PY - 2017/1/1
Y1 - 2017/1/1
N2 - This paper deals with infinite-horizon non-zero-sum stochastic differential games with discounted and average payoffs and an additive structure. Our main objective is to give conditions for the existence of Nash equilibria in the set of stationary randomized strategies for the discounted payoff and then, by following the vanishing discount approach, to show the existence of Nash equilibria for the average payoff. To this end, we use standard dynamic programming techniques.
AB - This paper deals with infinite-horizon non-zero-sum stochastic differential games with discounted and average payoffs and an additive structure. Our main objective is to give conditions for the existence of Nash equilibria in the set of stationary randomized strategies for the discounted payoff and then, by following the vanishing discount approach, to show the existence of Nash equilibria for the average payoff. To this end, we use standard dynamic programming techniques.
KW - Additive structure
KW - Average payoff
KW - Discounted payoff
KW - Stochastic differential games
UR - http://www.scopus.com/inward/record.url?scp=85018954253&partnerID=8YFLogxK
U2 - 10.1093/imamci/dnv045
DO - 10.1093/imamci/dnv045
M3 - Artículo
AN - SCOPUS:85018954253
SN - 0265-0754
VL - 34
SP - 283
EP - 309
JO - IMA Journal of Mathematical Control and Information
JF - IMA Journal of Mathematical Control and Information
IS - 1
ER -