Two-player zero-sum stochastic differential games with regime switching and corresponding Hamilton-Jacobi-Bellman-Isaacs' equations

DOI10.3934/cpaa.2024051zbMath1544.9104MaRDI QIDQ6599738

Zhen Wu, Li Guo

Publication date: 6 September 2024

Published in: Communications on Pure and Applied Analysis (Search for Journal in Brave)

zbMATH Keywords

Markov chainsstochastic differential gamesdynamic programming principleHJBI equations

Mathematics Subject Classification ID

Noncooperative games (91A10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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