SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Two-player zero-sum stochastic differential games with regime switching
16 references·1 citing·39 second hop
Two-player zero-sum stochastic differential games with regime switching (2020)Two-player zero-sum stochastic differenti…Continuous-Time Markov Chains and Applications: A Two-Time-Scale Approach (2012)Continuous-Time Markov Chains…Hybrid Switching Diffusions: Properties and Applications (2010)Hybrid Switching Diffusions: …A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications (2010)A Pontryagin's Maximum Princi…Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations (2008)Stochastic Differential Games…Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations (2007)Stochastic Differential Games…Mixed Zero-Sum Stochastic Differential Game and American Game Options (2006)Mixed Zero-Sum Stochastic Dif…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Closed-Form Solutions for Per…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Stock Trading: An Optimal Selling Rule (2001)Stock Trading: An Optimal Sel…Stochastic differential portfolio games (2000)Stochastic differential portf…Reflected BSDEs and mixed game problem (2000)Reflected BSDEs and mixed gam…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Zero-sum stochastic differential games and backward equations (1995)Zero-sum stochastic different…The existence of value in differential games (1972)The existence of value in dif…Linear–quadratic stochastic leader–follower differential games for Markov jump-diffusion models (2022)Linear–quadratic stochastic l…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)A Leader-Follower Stochastic Linear Quadratic Differential Game (2002)Importance Sampling, Large Deviations, and Differential Games (2004)Theory of games and economic behavior (2019)Adapted solution of a backward stochastic differential equation (1990)Backward stochastic differential equations and integral-partial differential equations (1997)Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation (2014)Leader–follower stochastic differential game with asymmetric information and applications (2015)Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (2016)Portfolio Selection: Efficient Diversification of Investments (1959)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Les Aspects Probabilistes Du Controle Stochastique (1981)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Methods of Mathematical Finance (1998)Derivatives in Financial Markets with Stochastic Volatility (2000)EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009)Stochastic Differential Equations (2003)Option Pricing With Markov-Modulated Dynamics (2006)Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2012)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods (2013)Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space (2015)Certain properties related to well posedness of switching diffusions (2017)
this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 2010Hybrid Switching Diffusions: Properties and Applications383 cited
  • 2001Stock Trading: An Optimal Selling Rule297 cited
  • 1972The existence of value in differential games294 cited
  • 1995Zero-sum stochastic differential games and backward equations235 cited
  • 2004Closed-Form Solutions for Perpetual American Put Options with Regime Switching228 cited
  • 2008Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations200 cited
  • 2007Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations166 cited
  • 2000Reflected BSDEs and mixed game problem136 cited
  • 2006Mixed Zero-Sum Stochastic Differential Game and American Game Options109 cited
  • 2012Continuous-Time Markov Chains and Applications: A Two-Time-Scale Approach106 cited
  • 2010A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

94 cited
  • 2000Stochastic differential portfolio games94 cited
  • Cited by

    • 2022Linear–quadratic stochastic leader–follower differential games for Markov jump-diffusion models23 cited