Stochastic differential games with a varying number of players

Bensoussan, Alain, Frehse, Jens and Grün, Christine (2014) Stochastic differential games with a varying number of players. Communications on Pure and Applied Analysis, 13. pp. 1719-1736.

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Official URL: http://tse-fr.eu/pub/29335

Abstract

We consider a non zero sum stochastic differential game with a maximum n players, where the players control a diffusion in order to minimise a certain cost functional. During the game it is possible that present players may die or new players may appear. The death, respectively the birth time of a player is exponentially distributed with intensities that depend on the diffusion and the controls of the players who are alive. We show how the game is related to a system of partial differential equations with a special coupling in the zero order terms. We provide an existence result for solutions in appropriate spaces that allow to construct Nash optimal feedback controls. The paper is related to a previous result in a similar setting for two players leading to a parabolic system of Bellman equations [4]. Here, we study the elliptic case (infinite horizon) and present the generalisation to more than two players.

Item Type: Article
Language: English
Date: September 2014
Refereed: Yes
Uncontrolled Keywords: Systems of PDE, L∞ estimates, regularity, stochastic differential games, controlled birth/death processes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 21 Sep 2015 13:08
Last Modified: 24 Jan 2019 00:11
OAI ID: oai:tse-fr.eu:29335
URI: http://publications.ut-capitole.fr/id/eprint/18331

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