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- W4366459370 abstract "We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call these games linear-quadratic-singular stochastic differential games. Under natural assumptions, we show the existence of open-loop Nash equilibria, which are characterized through a linear system of forward-backward stochastic differential equations. The proof is based on an approximation via a sequence of games in which players are restricted to play Lipschitz continuous strategies. We then discuss an application of these results to a model of capacity expansion in oligopoly markets." @default.
- W4366459370 created "2023-04-22" @default.
- W4366459370 creator A5045538547 @default.
- W4366459370 date "2023-04-18" @default.
- W4366459370 modified "2023-09-24" @default.
- W4366459370 title "Linear-quadratic-singular stochastic differential games and applications" @default.
- W4366459370 doi "https://doi.org/10.48550/arxiv.2304.09033" @default.
- W4366459370 hasPublicationYear "2023" @default.
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