Optimal investment and proportional reinsurance with constrained control variables (Q3098479): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1002/oca.965 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1002/OCA.965 / rank | |||
Normal rank | |||
Latest revision as of 15:59, 20 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment and proportional reinsurance with constrained control variables |
scientific article |
Statements
Optimal investment and proportional reinsurance with constrained control variables (English)
0 references
17 November 2011
0 references
Hamilton-Jacobi-Bellman equation
0 references
compound Poisson process
0 references
Brownian motion
0 references
exponential utility
0 references
proportional reinsurance
0 references
investment
0 references
0 references
0 references
0 references
0 references
0 references
0 references
