Nonlinear Stochastic Dynamic Games
نویسندگان
چکیده
In this paper, dynamic games for a class of infinite horizon for nonlinear stochastic system governed by Itô differential equation are investigated. Particularly, Pareto and Nash strategies are both discussed. After defining the equilibrium condition, the conditions for the existence of the strategy sets are given by means of solvability of cross-coupled Hamilton-Jacobi-Bellman equations (HJBEs). It is shown that these higher-order approximate strategy sets can be obtained by computing the recursive algorithm. A simple numerical example is given to show the reliability and usefulness of the considerable results.
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