Stochastic differential games with controlled regime-switching

DOI10.1007/s40314-024-02782-8MaRDI QIDQ6563145

Huaizhong Zhao, Chenglin Ma

Publication date: 27 June 2024

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

viscosity solutionsstochastic differential gamesdynamic programming principleHamilton-Jacobi-Bellman-Isaacs equationscontrolled regime-switching

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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