Two-player zero-sum stochastic differential games with regime switching
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Publication:2174009
DOI10.1016/j.automatica.2020.108819zbMath1441.91010OpenAlexW2999745644WikidataQ126345870 ScholiaQ126345870MaRDI QIDQ2174009
Publication date: 17 April 2020
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2020.108819
Markov chainsviscosity solutionsstochastic differential gamesdynamic programming principleHJBI equations
2-person games (91A05) Dynamic programming (90C39) Stochastic games, stochastic differential games (91A15)
Related Items (3)
Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions ⋮ Non-zero sum differential game for stochastic Markovian jump systems with partially unknown transition probabilities ⋮ Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models
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