[Sur un jeu différentiel stochastique de somme non nulle avec contrôles de type bang–bang]
Dans cette Note, nous résolvons un jeu différentiel stochastique de somme non nulle avec contrôles d'équilibre de type bang–bang, en utilisant les équations différentielles stochastiques rétrogrades (EDSRs). Le générateur est multi-dimensionnel et discontinu par rapport à z.
In this Note, we solve a nonzero-sum stochastic differential game (NZSDG) with bang–bang-type equilibrium controls by using backward stochastic differential equations (BSDEs). The generator is multi-dimensional and discontinuous with respect to z.
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@article{CRMATH_2014__352_9_699_0,
author = {Hamad\`ene, Said and Mu, Rui},
title = {Bang{\textendash}bang-type {Nash} equilibrium point for {Markovian} nonzero-sum stochastic differential game},
journal = {Comptes Rendus. Math\'ematique},
pages = {699--706},
publisher = {Elsevier},
volume = {352},
number = {9},
year = {2014},
doi = {10.1016/j.crma.2014.06.011},
language = {en},
url = {http://www.numdam.org/articles/10.1016/j.crma.2014.06.011/}
}
TY - JOUR AU - Hamadène, Said AU - Mu, Rui TI - Bang–bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game JO - Comptes Rendus. Mathématique PY - 2014 SP - 699 EP - 706 VL - 352 IS - 9 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2014.06.011/ DO - 10.1016/j.crma.2014.06.011 LA - en ID - CRMATH_2014__352_9_699_0 ER -
%0 Journal Article %A Hamadène, Said %A Mu, Rui %T Bang–bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game %J Comptes Rendus. Mathématique %D 2014 %P 699-706 %V 352 %N 9 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2014.06.011/ %R 10.1016/j.crma.2014.06.011 %G en %F CRMATH_2014__352_9_699_0
Hamadène, Said; Mu, Rui. Bang–bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game. Comptes Rendus. Mathématique, Tome 352 (2014) no. 9, pp. 699-706. doi : 10.1016/j.crma.2014.06.011. http://www.numdam.org/articles/10.1016/j.crma.2014.06.011/
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