Abstract
This chapter is about two-person nonzero-sum stochastic differential games with discounted and long-run average (a.k.a. ergodic) payoffs. Our aim is to give conditions for the existence of feedback correlated randomized equilibria for each aforementioned payoff that are natural generalizations of the well-known Nash equilibria. To do so, we rewrite our original problem in terms of an auxiliary zerosum game, so that the way to find correlated equilibria is based on some properties of this later game. Key ingredients to achieve the desired results are the continuity properties of the payoffs.
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Escobedo-Trujillo, B.A., Jasso-Fuentes, H. (2019). Correlated Equilibria for Infinite Horizon Nonzero-Sum Stochastic Differential Games. In: Yin, G., Zhang, Q. (eds) Modeling, Stochastic Control, Optimization, and Applications. The IMA Volumes in Mathematics and its Applications, vol 164. Springer, Cham. https://doi.org/10.1007/978-3-030-25498-8_9
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