Arbeitspapier

Linear-quadratic-singular stochastic differential games and applications

zu Verbundenen Objekten

We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call these games linear-quadratic-singular stochastic differential games. Under natural assumptions, we show the existence of open-loop Nash equilibria, which are characterized through a linear system of forward-backward stochastic differential equations. The proof is based on an approximation via a sequence of games in which players are restricted to play Lipschitz continuous strategies. We then discuss an application of these results to a model of capacity expansion in oligopoly markets.

Sprache
Englisch

Erschienen in
Series: Center for Mathematical Economics Working Papers ; No. 678

Klassifikation
Mathematik
Thema
Singular stochastic control
linear quadratic games
stochastic maximum principle
Nash equilibrium

Ereignis
Geistige Schöpfung
(wer)
Dianetti, Jodi
Ereignis
Veröffentlichung
(wer)
Bielefeld University, Center for Mathematical Economics (IMW)
(wo)
Bielefeld
(wann)
2023

Handle
URN
urn:nbn:de:0070-pub-29786777
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Original beim Datenpartner anzeigen

Objekttyp

  • Arbeitspapier

Beteiligte

  • Dianetti, Jodi
  • Bielefeld University, Center for Mathematical Economics (IMW)

Entstanden

  • 2023

Ähnliche Objekte (12)

Linear-Quadratic-Singular Stochastic Differential Games and Applications

Linear-Quadratic-Singular Stochastic Differential Games and Applications

Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps

Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps

Quadratic differentials

Quadratic differentials

Infinitesimal analysis of singular stochastic partial differential equations

Infinitesimal analysis of singular stochastic partial differential equations

Bounded Variation Singular Stochastic Control and Associated Dynkin Game

Arbeitspapier

Bounded Variation Singular Stochastic Control and Associated Dynkin Game

Bounded variation singular stochastic control and associated Dynkin game

Bounded variation singular stochastic control and associated Dynkin game

Stochastic differential equations with singular drifts and multiplicative noises

Stochastic differential equations with singular drifts and multiplicative noises

Differential games : theory and methods for solving game problems with singular surfaces

Differential games : theory and methods for solving game problems with singular surfaces

Papers on risk sensitive stochastic differential games

Papers on risk sensitive stochastic differential games

Continuous Viscosity Solutions to Linear-Quadratic Stochastic Control Problems with Singular Terminal State Constraint

Continuous Viscosity Solutions to Linear-Quadratic Stochastic Control Problems with Singular Terminal State Constraint

Continuous Viscosity Solutions to Linear-Quadratic Stochastic Control Problems with Singular Terminal State Constraint

Continuous Viscosity Solutions to Linear-Quadratic Stochastic Control Problems with Singular Terminal State Constraint

Malliavin calculus and densities for singular stochastic partial differential equations

Malliavin calculus and densities for singular stochastic partial differential equations

Verbundene Objekte