Optimal stochastic investment games under Markov regime switching market

DOI10.3934/jimo.2014.10.795zbMath1282.91314OpenAlexW2135443944MaRDI QIDQ2438402

Lin Xu, Ding Jun Yao, Rong-Ming Wang

Publication date: 11 March 2014

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2014.10.795

zbMATH Keywords

weak convergencefinite difference methodoptimal investmentzero-sum stochastic differential gamesMarkov regime switching market

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Management decision making, including multiple objectives (90B50) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints, Time consistent policy of multi-period mean-variance

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