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)

Recommendations

• Two-player zero-sum stochastic differential games with regime switching
• Two-player zero-sum stochastic differential games with regime switching and corresponding Hamilton-Jacobi-Bellman-Isaacs' equations
• A BSDE approach to stochastic differential games with regime switching
• Stochastic differential switching game in infinite horizon

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)

Cites Work

• Hybrid switching diffusions. Properties and applications
• Controlled Markov processes and viscosity solutions
• Title not available (Why is that?)
• On zero-sum stochastic differential games with jump-diffusion driven state: a viscosity solution framework
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Theory of Dynamic Programming
• Portfolio optimization under model uncertainty and BSDE games
• Optimal Control of Stochastic Integrals and Hamilton–Jacobi–Bellman Equations. I
• Optimal control of the risk process in a regime-switching environment
• A BSDE approach to a risk-based optimal investment of an insurer
• Zero-sum stochastic differential games and backward equations
• Optimal risk probability for first passage models in semi-Markov decision processes
• On the continuity of stochastic exit time control problems
• A stochastic differential game for optimal investment of an insurer with regime switching
• Numerical Solutions for Stochastic Differential Games With Regime Switching
• Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
• Sobolev weak solutions of the Hamilton-Jacobi-Bellman equations
• The risk probability criterion for discounted continuous-time Markov decision processes
• Measurable selection theorems and their application to problems of guaranteed performance
• Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem
• Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
• Two-player zero-sum stochastic differential games with regime switching
• A BSDE approach to stochastic differential games with regime switching
• A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
• Optimal control of probability on a target set for continuous-time Markov chains

Cited In (1)

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

This page was built for publication: Stochastic differential games with controlled regime-switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6563145)