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Recursive Nonzero-sum Stochastic Differential Games and Related Multiple Dimensional BSDEs

报告题目:Recursive Nonzero-sum Stochastic Differential Games and Related Multiple Dimensional BSDEs

邀请人:马俊美

报告人:穆蕊 副教授 苏州大学
时间:2019年124日(周三) 13:30-15:00
地点:红瓦楼723
摘要:This talk is concerned with recursive nonzero-sum stochastic differential game problem in Markovian framework when the drift of the state process is no longer bounded but only satisfies the linear growth condition. The costs of players are given by the initial values of related backward  stochastic differential equations which, in our case, are multidimensional with continuous coefficients, whose generators are of linear growth on the volatility processes and stochastic monotonic on the value processes. We finally show the well-posedness of the costs and the existence of a Nash equilibrium point for the game under the generalized Isaacs assumption.
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