Please use this identifier to cite or link to this item:
Year of Publication: 
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 678
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
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.
Singular stochastic control
linear quadratic games
stochastic maximum principle
Nash equilibrium
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

Files in This Item:
540.28 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.