dc.date.accessioned | 2024-02-16T18:07:39Z | |
dc.date.available | 2024-02-16T18:07:39Z | |
dc.date.created | 2023-07-10T13:47:57Z | |
dc.date.issued | 2023 | |
dc.identifier.citation | Savku, Emel . A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes. Mathematics. 2023, 11(14) | |
dc.identifier.uri | http://hdl.handle.net/10852/108151 | |
dc.description.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. | |
dc.language | EN | |
dc.rights | Attribution 4.0 International | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.title | A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes | |
dc.title.alternative | ENEngelskEnglishA Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes | |
dc.type | Journal article | |
dc.creator.author | Savku, Emel | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Risiko og stokastikk | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 2161703 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Mathematics&rft.volume=11&rft.spage=&rft.date=2023 | |
dc.identifier.jtitle | Mathematics | |
dc.identifier.volume | 11 | |
dc.identifier.issue | 14 | |
dc.identifier.pagecount | 20 | |
dc.identifier.doi | https://doi.org/10.3390/math11143043 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 2227-7390 | |
dc.type.version | PublishedVersion | |
cristin.articleid | 3043 | |
dc.relation.project | NFR/299897 | |