Optimal stochastic differential games with VaR constraints (Q379028): Difference between revisions
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| Property / DOI: 10.3934/dcdsb.2013.18.1889 / rank | |||
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| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / Mathematics Subject Classification ID: 91A25 / rank | |||
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| Property / Mathematics Subject Classification ID: 49L20 / rank | |||
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| Property / zbMATH DE Number: 6226218 / rank | |||
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optimal investment | |||
| Property / zbMATH Keywords: optimal investment / rank | |||
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proportional reinsurance | |||
| Property / zbMATH Keywords: proportional reinsurance / rank | |||
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stochastic differential game | |||
| Property / zbMATH Keywords: stochastic differential game / rank | |||
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risk constraint | |||
| Property / zbMATH Keywords: risk constraint / rank | |||
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Nash equilibria | |||
| Property / zbMATH Keywords: Nash equilibria / rank | |||
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HJBI equations | |||
| Property / zbMATH Keywords: HJBI equations / rank | |||
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dynamic programming | |||
| Property / zbMATH Keywords: dynamic programming / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.3934/dcdsb.2013.18.1889 / rank | |||
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| Property / OpenAlex ID: W2315162312 / rank | |||
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| Property / DOI: 10.3934/DCDSB.2013.18.1889 / rank | |||
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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)
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12 November 2013
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optimal investment
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proportional reinsurance
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stochastic differential game
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risk constraint
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Nash equilibria
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HJBI equations
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dynamic programming
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