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Two-player zero-sum stochastic differential games with regime switching · Study

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ArticleTwo-player zero-sum stochastic differential games with regime switching

Siyu Lv2020

Article2020

Two-player zero-sum stochastic differential games with regime switching

23 citations·0/0 files stored·Automatica

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Stochastic processes and financial applications Game Theory and Applications Adaptive Dynamic Programming Control

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References

2005Controlled Markov Processes and Viscosity Solutions 1997Backward Stochastic Differential Equations in Finance 1999Stochastic controls : Hamiltonian systems and HJB equations 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model 2010Hybrid Switching Diffusions: Properties and Applications 2001Stock Trading: An Optimal Selling Rule 1972The existence of value in differential games 1995Zero-sum stochastic differential games and backward equations

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2022Linear–quadratic stochastic leader–follower differential games for Markov jump-diffusion models

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Year2020

Typearticle

Published2020-01-15

VenueAutomatica

ISSN-L0005-1098

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.automatica.2020.108819

openalex_workW2999745644

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