Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games
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Publication:6189684
DOI10.1007/s00245-023-10101-6OpenAlexW4390948561WikidataQ129754854 ScholiaQ129754854MaRDI QIDQ6189684
Son Luu Nguyen, George Yin, Esteban J. Rolón Gutiérrez
Publication date: 8 February 2024
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-023-10101-6
stochastic differential gameswitching diffusionforward-backward stochastic differential equationmean-field interaction
Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27)
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