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Nash equilibria for non zero-sum ergodic stochastic differential games (1511.02716v2)
Published 9 Nov 2015 in math.PR, math.OC, and q-fin.EC
Abstract: In this paper we consider non zero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of Ergodic BSDEs, and prove the existence of a Nash equilibrium under the generalised Isaac's conditions. We also study the case of interacting players of different type.
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