MARC Record from marc_columbia

LEADER: 01932cam a22003253i 4500
001 10578829
005 20180618182423.0
006 m o d
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008 131223s2011 nyu|||| om 00| ||eng d
035 $a(OCoLC)867753580
035 $a(OCoLC)ocn867753580
035 $a(NNC)ACfeed:legacy_id:ac:131462
035 $a(NNC)ACfeed:doi:10.7916/D82R3ZNG
035 $a(NNC)10578829
040 $aNNC$beng$erda$cNNC
100 1 $aLi, Qinghua.
245 10 $aTwo Approaches to Non-Zero-Sum Stochastic Differential Games of Control and Stopping /$cQinghua Li.
264 1 $a[New York, N.Y.?] :$b[publisher not identified],$c2011.
300 $a1 online resource.
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
502 $aThesis (Ph.D.)--Columbia University, 2011.
500 $aDepartment: Statistics.
500 $aThesis advisor: Ioannis Karatzas.
520 $aThis dissertation takes two approaches - martingale and backward stochastic differential equation (BSDE) - to solve non-zero-sum stochastic differential games in which all players can control and stop the reward streams of the games. Existence of equilibrium stopping rules is proved under some assumptions. The martingale part provides an equivalent martingale characterization of Nash equilibrium strategies of the games. When using equilibrium stopping rules, Isaacs' condition is necessary and sufficient for the existence of an equilibrium control set. The BSDE part shows that solutions to BSDEs provide value processes of the games. A multidimensional BSDE with reflecting barrier is studied in two cases for its solution: existence and uniqueness with Lipschitz growth, and existence in a Markovian system with linear growth rate.
653 0 $aMathematics
856 40 $uhttps://doi.org/10.7916/D82R3ZNG$zClick for full text
852 8 $blweb$hDISSERTATIONS