Dianetti J, Ferrari G. Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria . Center for Mathematical Economics Working Papers. Vol 605. Bielefeld: Center for Mathematical Economics; 2019. ; We consider a class of N-player stochastic games of multi-dimensional singular control, in which each player faces a minimization problem of monotone-follower type with submodular costs. We call these games monotone-follower games. In a not necessarily Markovian setting, we establish the existence of Nash equilibria. Moreover, we introduce a sequence of approximating games by restricting, for each n ∈ ℕ, the players' admissible strategies to the set of Lipschitz processes with Lipschitz constant bounded by n. We prove that, for each n ∈ ℕ, there exists a Nash equilibrium of the approximating game and that the sequence of Nash equilibria converges, in the Meyer-Zheng sense, to a weak (distributional) Nash equilibrium of the original game of singular control. As a byproduct, such a convergence also provides approximation results of the equilibrium values across the two classes of games. We finally show how our results can be employed to prove existence of open-loop Nash equilibria in an N-player stochastic differential game with singular controls, and we propose an algorithm to determine a Nash equilibrium for the monotone-follower game.


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    Title :

    Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria


    Contributors:

    Publication date :

    2019-01-01


    Type of media :

    Paper


    Type of material :

    Electronic Resource


    Language :

    English



    Classification :

    DDC:    330 / 629





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