Stochastic differential games with controlled regime-switching
(2024)
Journal Article
Ma, C., & Zhao, H. (2024). Stochastic differential games with controlled regime-switching. Computational and Applied Mathematics, 43(4), Article 264. https://doi.org/10.1007/s40314-024-02782-8
In this article, we consider a two-player zero-sum stochastic differential game with regime-switching. Different from the results in existing literature on stochastic differential games with regime-switching, we consider a game between a Markov chain... Read More about Stochastic differential games with controlled regime-switching.