TY - GEN
T1 - Nash Equilibrium for Multi-Player Regime Switching Stochastic Differential Games
AU - Wang, Mingrui
AU - Chakraborty, Prakash
N1 - Publisher Copyright:
© 2024 AACC.
PY - 2024
Y1 - 2024
N2 - In this study, we consider multi-player stochastic differential games with regime switching in the player dynamics modeled by a Markov chain with a finite state space. We study the associated Nash system, which comprise a system of coupled nonlinear partial differential equations. We prove the existence and uniqueness of solutions to the Nash system, thereby establishing the existence of a unique Nash equilibrium.
AB - In this study, we consider multi-player stochastic differential games with regime switching in the player dynamics modeled by a Markov chain with a finite state space. We study the associated Nash system, which comprise a system of coupled nonlinear partial differential equations. We prove the existence and uniqueness of solutions to the Nash system, thereby establishing the existence of a unique Nash equilibrium.
UR - http://www.scopus.com/inward/record.url?scp=85204455359&partnerID=8YFLogxK
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U2 - 10.23919/ACC60939.2024.10644879
DO - 10.23919/ACC60939.2024.10644879
M3 - Conference contribution
AN - SCOPUS:85204455359
T3 - Proceedings of the American Control Conference
SP - 1610
EP - 1615
BT - 2024 American Control Conference, ACC 2024
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2024 American Control Conference, ACC 2024
Y2 - 10 July 2024 through 12 July 2024
ER -