Nonzero-Sum Stochastic Differential Portfolio Games under a Markovian Regime Switching Model

Nonzero-Sum Stochastic Differential Portfolio Games under a Markovian Regime Switching Model

We consider a nonzero-sum stochastic differential portfolio game problem in a continuous-time Markov regime switching environment when the price dynamics of the risky assets are governed by a Markov-modulated geometric Brownian motion (GBM). The market parameters, including the bank interest rate an...

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Bibliographic Details
Main Authors:	Chaoqun Ma, Hui Wu, Xiang Lin
Format:	Article
Language:	English
Published:	Hindawi Limited 2015-01-01
Series:	Mathematical Problems in Engineering
Online Access:	http://dx.doi.org/10.1155/2015/738181

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