Long, Ngo Van; Prieur, Fabien; Puzon, Klarizze; … - CESifo - 2014
We propose a new methodology exploring Markov perfect equilibrium strategies in differential games with regime … that influences the evolution of a state variable, and decide on the switching time from one regime to another. Compared to … the optimal control problem with regime switching, necessary optimality conditions are modified for the first-mover. When …