Optimal stochastic differential games with VaR constraints (Q379028): Difference between revisions
From MaRDI portal
Set profile property. |
Normalize DOI. |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / DOI | |||
| Property / DOI: 10.3934/dcdsb.2013.18.1889 / rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.3934/dcdsb.2013.18.1889 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2315162312 / rank | |||
Normal rank | |||
| Property / DOI | |||
| Property / DOI: 10.3934/DCDSB.2013.18.1889 / rank | |||
Normal rank | |||
Latest revision as of 15:46, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal stochastic differential games with VaR constraints |
scientific article |
Statements
Optimal stochastic differential games with VaR constraints (English)
0 references
12 November 2013
0 references
optimal investment
0 references
proportional reinsurance
0 references
stochastic differential game
0 references
risk constraint
0 references
Nash equilibria
0 references
HJBI equations
0 references
dynamic programming
0 references
