Numerical Solutions for Stochastic Differential Games With Regime Switching
Numerical Solutions for Stochastic Differential Games With Regime Switching
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DOI：
10.1109/tac.2007.915169
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发表时间：
2008-03
影响因子：
6.8
通讯作者：
Q. Song;G. Yin;Zhimin Zhang
中科院分区：
文献类型：
--
作者：
Q. Song;G. Yin;Zhimin Zhang
本文研究了区域切换扩散随机微分对策的数值方法。发展了基于马尔可夫链逼近技术的数值方法。给出了随机微分对策鞍点存在性的一个新证明。这一新的证明使我们能够处理具有不可分(在控制中)结构的某些系统。利用弱收敛方法证明了该算法的收敛性质。此外，还提供了示例以供演示之用。
This paper is concerned with numerical methods for stochastic differential games of regime-switching diffusions. Numerical methods using Markov chain approximation techniques are developed. A new proof of the existence of a saddle point for the stochastic differential game is provided. This new proof enables us to treat certain systems with nonseparable (in controls) structure. Convergence of the algorithms is derived by means of weak convergence methods. In addition, examples are also provided for demonstration purposes.