Stochastic differential games with controlled regime-switching

DOI10.1007/S40314-024-02782-8MaRDI QIDQ6563145FDOQ6563145

Authors Chenglin Ma, Huaizhong Zhao 

Publication date 27 June 2024

Published in Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential gamesviscosity solutionsdynamic programming principleHamilton-Jacobi-Bellman-Isaacs equationscontrolled regime-switching

Mathematics Subject Classification ID

2-person games (91A05) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic games, stochastic differential games (91A15)

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• Zero-sum stochastic differential games and backward equations

Cited in

(1)

• Two-player zero-sum stochastic differential games with regime switching and corresponding Hamilton-Jacobi-Bellman-Isaacs' equations

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