A BSDE Approach to Stochastic Differential Games with Regime Switching. (10th June 2021) - Li, J. Y.
Abstract : In this paper, we study a two-player zero-sum stochastic differential game with regime switching in the framework of forward-backward stochastic differential equations on a finite time horizon. By means of backward stochastic differential equation methods, in particular that of the notion from stochastic backward semigroups, we prove a dynamic programming principle for both the upper and the lower value functions of the game. Based on the dynamic programming principle, the upper and the lower value functions are shown to be the unique viscosity solutions of the associated upper and lower Hamilton–Jacobi–Bellman–Isaacs equations.