Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals

摘要

In this paper, we investigate Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games with coupled nonlinear cost functionals. We obtain an existence theorem and a characterization theorem for Nash equilibrium payoffs. The novelty of this paper is to study Nash equilibrium payoffs for coupled cost fuctionals. (C) 2015 Published by Elsevier B.V.