具有状态切换的二人零和随机微分对策的动态规划原理

Dynamic Programming Principles for Two-Player Zero-Sum Stochastic Differential Games with Regime Switching

本文研究了具有状态切换的二人零和随机微分对策,主要结果是在倒向随机微分方程框架下具有状态切换的二人零和随机微分对策的动态规划原理。

In this paper, we study dynamic programming principles for two-player zero-sum stochastic dif-ferential games with regime switching. The main results of this paper concern dynamic program-ming principles with the help of the theory of backward stochastic differential equations.