A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes

We develop an approach for two-player constraint zero-sum and nonzero-sum stochastic differential games, which are modeled by Markov regime-switching jump-diffusion processes. We provide the relations between a usual stochastic optimal control setting and a Lagrangian method. In this context, we pro...

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Bibliographic Details

Published in:	Mathematics
Main Author:	Emel Savku
Format:	Article
Language:	English
Published:	MDPI AG 2023-07-01
Subjects:	stochastic optimal control stochastic differential games regime switches stochastic maximum principle insurance
Online Access:	https://www.mdpi.com/2227-7390/11/14/3043