Infinite-horizon non-zero-sum stochastic differential games with additive structure

Héctor Jasso-Fuentes; José Daniel López-Barrientos; Beatris Adriana Escobedo-Trujillo

doi:10.1093/imamci/dnv045

Infinite-horizon non-zero-sum stochastic differential games with additive structure

Héctor Jasso-Fuentes^*
, José Daniel López-Barrientos
, Beatris Adriana Escobedo-Trujillo

^*Corresponding author for this work

Anahuac Mexico Universtiy

Centro de Investigacion y de Estudios Avanzados del Instituto Politécnico Nacional
Universidad Veracruzana

Research output: Contribution to journal › Article

8 Scopus citations

Abstract

This paper deals with infinite-horizon non-zero-sum stochastic differential games with discounted and average payoffs and an additive structure. Our main objective is to give conditions for the existence of Nash equilibria in the set of stationary randomized strategies for the discounted payoff and then, by following the vanishing discount approach, to show the existence of Nash equilibria for the average payoff. To this end, we use standard dynamic programming techniques.

Original language	English
Pages (from-to)	283-309
Number of pages	27
Journal	IMA Journal of Mathematical Control and Information
Volume	34
Issue number	1
DOIs	https://doi.org/10.1093/imamci/dnv045
State	Published - 1 Jan 2017

Keywords

Additive structure
Average payoff
Discounted payoff
Stochastic differential games

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10.1093/imamci/dnv045

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abstract = "This paper deals with infinite-horizon non-zero-sum stochastic differential games with discounted and average payoffs and an additive structure. Our main objective is to give conditions for the existence of Nash equilibria in the set of stationary randomized strategies for the discounted payoff and then, by following the vanishing discount approach, to show the existence of Nash equilibria for the average payoff. To this end, we use standard dynamic programming techniques.",

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author = "H{\'e}ctor Jasso-Fuentes and L{\'o}pez-Barrientos, \{Jos{\'e} Daniel\} and Escobedo-Trujillo, \{Beatris Adriana\}",

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AU - Jasso-Fuentes, Héctor

AU - López-Barrientos, José Daniel

AU - Escobedo-Trujillo, Beatris Adriana

N1 - Publisher Copyright: © The authors 2015.

PY - 2017/1/1

Y1 - 2017/1/1

N2 - This paper deals with infinite-horizon non-zero-sum stochastic differential games with discounted and average payoffs and an additive structure. Our main objective is to give conditions for the existence of Nash equilibria in the set of stationary randomized strategies for the discounted payoff and then, by following the vanishing discount approach, to show the existence of Nash equilibria for the average payoff. To this end, we use standard dynamic programming techniques.

AB - This paper deals with infinite-horizon non-zero-sum stochastic differential games with discounted and average payoffs and an additive structure. Our main objective is to give conditions for the existence of Nash equilibria in the set of stationary randomized strategies for the discounted payoff and then, by following the vanishing discount approach, to show the existence of Nash equilibria for the average payoff. To this end, we use standard dynamic programming techniques.

KW - Additive structure

KW - Average payoff

KW - Discounted payoff

KW - Stochastic differential games

UR - https://www.scopus.com/pages/publications/85018954253

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DO - 10.1093/imamci/dnv045

M3 - Artículo

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SP - 283

EP - 309

JO - IMA Journal of Mathematical Control and Information

JF - IMA Journal of Mathematical Control and Information

IS - 1

ER -

Infinite-horizon non-zero-sum stochastic differential games with additive structure

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Keywords

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