Nash equilibrium payoffs for stochastic differential games with reflection

Abstract

In this paper, we investigate Nash equilibrium payoffs for nonzero-sum stochastic differential games with reflection. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations.

arXiv admin note: text overlap with arXiv:1106.1001