Existence and uniqueness are proved for controlled convection-diffusion SPDEs and their adjoints, and sufficient and necessary maximum principles are derived to characterize Nash equilibria in the associated nonzero-sum game.
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Nonzero-Sum Stochastic Differential Games for Controlled Convection-Diffusion SPDEs
Existence and uniqueness are proved for controlled convection-diffusion SPDEs and their adjoints, and sufficient and necessary maximum principles are derived to characterize Nash equilibria in the associated nonzero-sum game.