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

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

Blog Article

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 L-GLUTAMINE POWDER 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, T-Shirt 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.