Infinite-horizon non-zero-sum stochastic differential games with additive structure

Abstract
This paper deals with infinite-horizon non-zero-sum stochastic differential games with discounted and average payoffs and an additive structure. Our main objective is to give conditions for the existence of Nash equilibria in the set of stationary randomized strategies for the discounted payoff and then, by following the vanishing discount approach, to show the existence of Nash equilibria for the average payoff. To this end, we use standard dynamic programming techniques.