Abstract
In this paper we study Nash equilibrium payoffs for nonzero-sum stochastic differential games with two reflecting barriers. We obtain an existence and a characterization of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations with two reflecting barriers.
Citation
Qian Lin. "Nash equilibrium payoffs for stochastic differential games with two reflecting barriers." Adv. in Appl. Probab. 47 (2) 355 - 377, June 2015. https://doi.org/10.1239/aap/1435236979
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