Nash equilibrium payoffs for stochastic differential games with reflection
Qian Lin (2013)
ESAIM: Control, Optimisation and Calculus of Variations
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In this paper, we investigate Nash equilibrium payoffs for nonzero-sum stochastic differential games with reflection. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations.