Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty (Q2295327): Difference between revisions

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English	Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty	scientific article

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scholarly article

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title

Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty (English)

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Applied Mathematical Modelling

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publication date

12 February 2020

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zbMATH Keywords

stochastic differential game

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forward-backward stochastic differential equations

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maximum principle

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regular-singular control

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model uncertainty

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asymmetry informations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.apm.2017.07.027

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cites work

Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy

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Optimal investment policy and dividend payment strategy in an insurance company

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Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls

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MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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Optimal investment and reinsurance of an insurer with model uncertainty

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Model Uncertainty in Commodity Markets

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Adaptive robust nonlinear feedback control of chaos in PMSM system with modeling uncertainty

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Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps

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Forward-backward stochastic differential games and stochastic control under model uncertainty

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The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

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Global maximum principle for the forward-backward stochastic optimal control problem with poisson jumps

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A general maximum principle for optimal control of forward-backward stochastic systems

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Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems

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Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises

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A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems

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Maximum principle for differential games of forward-backward stochastic systems with applications

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Applied stochastic control of jump diffusions

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Lévy Processes and Stochastic Calculus

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A stochastic differential game for optimal investment of an insurer with regime switching

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BSDEs with jumps, optimization and applications to dynamic risk measures

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Identifiers

zbMATH Open document ID

1480.91250

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Mathematics Subject Classification ID

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10.1016/J.APM.2017.07.027

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Sitelinks

Mathematics(1 entry)

mardi Publication:2295327

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@@ Property / OpenAlex ID: W2741153078 / rank @@
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@@ Property / cites work @@
+Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
+Normal rank
@@ Property / cites work @@
+Optimal investment policy and dividend payment strategy in an insurance company
+Normal rank
@@ Property / cites work @@
+Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls
+Normal rank
@@ Property / cites work @@
+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance of an insurer with model uncertainty
+Normal rank
@@ Property / cites work @@
+Model Uncertainty in Commodity Markets
@@ Property / cites work: Model Uncertainty in Commodity Markets / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive robust nonlinear feedback control of chaos in PMSM system with modeling uncertainty
+Normal rank
@@ Property / cites work @@
+Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential games and stochastic control under model uncertainty
+Normal rank
@@ Property / cites work @@
+The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
+Normal rank
@@ Property / cites work @@
+Global maximum principle for the forward-backward stochastic optimal control problem with poisson jumps
+Normal rank
@@ Property / cites work @@
+A general maximum principle for optimal control of forward-backward stochastic systems
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
+Normal rank
@@ Property / cites work @@
+Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises
+Normal rank
@@ Property / cites work @@
+A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems
+Normal rank
@@ Property / cites work @@
+Maximum principle for differential games of forward-backward stochastic systems with applications
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic differential game for optimal investment of an insurer with regime switching
+Normal rank
@@ Property / cites work @@
+BSDEs with jumps, optimization and applications to dynamic risk measures
+Normal rank
@@ Property / DOI @@
+.1016/J.APM.2017.07.027
@@ Property / DOI: 10.1016/J.APM.2017.07.027 / rank @@
+Normal rank