SIAM Journal on Control and Optimization, Vol.43, No.4, 1222-1233, 2004
Nonzero-sum stochastic differential games with discontinuous feedback
The existence of a Nash equilibrium feedback is established for a two-player nonzero-sum stochastic differential game with discontinuous feedback. This is obtained by studying a parabolic system strongly coupled by discontinuous terms.
Keywords:nonzero-sum stochastic games;Nash point;strongly coupled parabolic systems;discontinuous feedbacks