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Stochastic dynamic investment games with regime switching model in continuous time between two investors are developed. The market coefficients, such as the bank interest rate, stocks appreciation rates, and volatility rates, are modulated by continuous-time Markov chain. There is a single payoff function which depends on both investors' wealth processes. One player chooses a dynamic portfolio strategy...
Portfolio stochastic control problem is proposed and analyzed for a market consisting of one bank account and multiple stocks. The market parameters, including the bank interest rate and the appreciation and volatility rates of the stocks, depend on the market mode that switches among a finite number of states. The random regime switching is assumed to be independent of the underlying Brownian motion...
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