A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes
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 read more provide the relations between a usual stochastic optimal control setting and a Lagrangian method.In this context, we prove corresponding theorems for two differen