Numerical Solutions for Stochastic Differential Games With Regime Switching

DOI10.1109/TAC.2007.915169MaRDI QIDQ4974150zbMATH OpenOpenAlexFDO

Authors Qingshuo Song, Zhimin Zhang, G. Yin

Publication date 8 August 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2007.915169

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)

Cited in

(20)

• Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
• A partial information non-zero sum differential game of backward stochastic differential equations with applications
• Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
• Maximum principle for general partial information nonzero sum stochastic differential games and applications
• Stochastic differential games: a sampling approach via FBSDEs
• Numerical analysis of a zero-sum stochastic differential game in a bounded domain
• Saddle points of discrete Markov zero-sum game with stopping
• Optimal stochastic investment games under Markov regime switching market
• Convergence of Markov chain approximation on generalized HJB equation and its applications
• A survey of numerical solutions for stochastic control problems: some recent progress
• Numerical methods for controlled switching diffusions
• Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise
• Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application
• Stochastic differential games with controlled regime-switching
• Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems
• Dynamic optimization of nonlinear differential game problems using orthogonal collocation with analytical sensitivities
• Equilibrium strategies in a defined benefit pension plan game with regime switching
• Two person non-zero-sum linear-quadratic differential game with Markovian jumps in infinite horizon
• The numerical solution of three stochastic differential games
• Lookback option pricing for regime-switching jump diffusion models

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