DOAJ Open Access 2023

A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes

Emel Savku

Abstrak

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.

Topik & Kata Kunci

Mathematics

Penulis (1)

Emel Savku

Format Sitasi

APA MLA BibTeX

Savku, E. (2023). A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes. https://doi.org/10.3390/math11143043

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Informasi Jurnal

Tahun Terbit: 2023
Sumber Database: DOAJ
DOI: 10.3390/math11143043
Akses: Open Access ✓