Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process (Q634007): Difference between revisions

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Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
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    Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process (English)
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    2 August 2011
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    stochastic control
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    Hamilton-Jacobi-bellman equation
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    Ornstein-Uhlenbeck process
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    compound Poisson process
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    Brownian motion
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    exponential utility
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    filtering
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    partial observations
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    proportional reinsurance
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    investment
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