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

Emel Savku ()
Additional contact information
Emel Savku: Department of Mathematics, University of Oslo, Postboks 1053 Blindern, 0316 Oslo, Norway

Mathematics, 2023, vol. 11, issue 14, 1-20

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.

Keywords: stochastic optimal control; stochastic differential games; regime switches; stochastic maximum principle; insurance (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/2227-7390/11/14/3043/pdf (application/pdf)
https://www.mdpi.com/2227-7390/11/14/3043/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:11:y:2023:i:14:p:3043-:d:1190001

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().