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A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes.
- Source :
-
Mathematics (2227-7390) . Jul2023, Vol. 11 Issue 14, p3043. 20p. - Publication Year :
- 2023
-
Abstract
- 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 prove corresponding theorems for two different types of constraints, which lead us to find real-valued and stochastic Lagrange multipliers, respectively. Then, we illustrate our results for a nonzero-sum game problem with the stochastic maximum principle technique. Our application is an example of cooperation between a bank and an insurance company, which is a popular, well-known business agreement type called Bancassurance. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 22277390
- Volume :
- 11
- Issue :
- 14
- Database :
- Academic Search Index
- Journal :
- Mathematics (2227-7390)
- Publication Type :
- Academic Journal
- Accession number :
- 169713076
- Full Text :
- https://doi.org/10.3390/math11143043