Arbeitspapier
Linear-quadratic-singular stochastic differential games and applications
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.
- Language
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Englisch
- Bibliographic citation
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Series: Center for Mathematical Economics Working Papers ; No. 678
- Classification
-
Mathematik
- Subject
-
Singular stochastic control
linear quadratic games
stochastic maximum principle
Nash equilibrium
- Event
-
Geistige Schöpfung
- (who)
-
Dianetti, Jodi
- Event
-
Veröffentlichung
- (who)
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Bielefeld University, Center for Mathematical Economics (IMW)
- (where)
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Bielefeld
- (when)
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2023
- Handle
- URN
-
urn:nbn:de:0070-pub-29786777
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Dianetti, Jodi
- Bielefeld University, Center for Mathematical Economics (IMW)
Time of origin
- 2023
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