Nash Equilibrium for Multi-Player Regime Switching Stochastic Differential Games

Mingrui Wang, Prakash Chakraborty

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

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.

Original languageEnglish (US)
Title of host publication2024 American Control Conference, ACC 2024
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1610-1615
Number of pages6
ISBN (Electronic)9798350382655
DOIs
StatePublished - 2024
Event2024 American Control Conference, ACC 2024 - Toronto, Canada
Duration: Jul 10 2024Jul 12 2024

Publication series

NameProceedings of the American Control Conference
ISSN (Print)0743-1619

Conference

Conference2024 American Control Conference, ACC 2024
Country/TerritoryCanada
CityToronto
Period7/10/247/12/24

All Science Journal Classification (ASJC) codes

  • Electrical and Electronic Engineering

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