On a class of non-zero-sum stochastic differential dividend games with regime switching
作者：
Highlights：
• A class of non-zero-sum stochastic differential game problems between two insurers is investigated.
• The objective is to maximize the expected discount utility of surplus relative to a reference point for each insurer.
• The singular control problem is linked to a stopping game.
摘要
•A class of non-zero-sum stochastic differential game problems between two insurers is investigated.•The objective is to maximize the expected discount utility of surplus relative to a reference point for each insurer.•The singular control problem is linked to a stopping game.
论文关键词：Singular stochastic control,Optimal stopping game,Regime-switching
论文评审过程：Received 11 August 2020, Revised 4 November 2020, Accepted 28 December 2020, Available online 14 January 2021, Version of Record 14 January 2021.
论文官网地址：https://doi.org/10.1016/j.amc.2021.125956
