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Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals. (English) Zbl 1333.60124
Summary: In this paper, we investigate Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games with coupled nonlinear cost functionals. We obtain an existence theorem and a characterization theorem for Nash equilibrium payoffs. The novelty of this paper is to study Nash equilibrium payoffs for coupled cost functionals.

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
91A15 Stochastic games, stochastic differential games
91A23 Differential games (aspects of game theory)
91A05 2-person games
49N70 Differential games and control
49J55 Existence of optimal solutions to problems involving randomness
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