School of Mathematics, Shandong University, Jinan 250100, China
Laboratoire de Mathématiques, CNRS UMR 6205, Université de Bretagne Occidentale, 6, avenue Victor Le Gorgeu, CS 93837, 29238 Brest cedex 3, France
Abstract:
In this paper, we study Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games via the theory of backward stochastic differential equations. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games with nonlinear cost functionals defined with the help of doubly controlled backward stochastic differential equations. Our results extend former ones by Buckdahn et al. (2004) 3] and are based on a backward stochastic differential equation approach.