A class of non-zero-sum stochastic differential investment and reinsurance games (Q466272): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / Mathematics Subject Classification ID: 49L20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91A23 / rank | |||
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| Property / zbMATH DE Number: 6361552 / rank | |||
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| Property / zbMATH Keywords | |||
Hamiltonian-Jacobi-Bellman equation | |||
| Property / zbMATH Keywords: Hamiltonian-Jacobi-Bellman equation / rank | |||
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non-zero-sum stochastic differential game | |||
| Property / zbMATH Keywords: non-zero-sum stochastic differential game / rank | |||
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equilibrium investment | |||
| Property / zbMATH Keywords: equilibrium investment / rank | |||
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equilibrium proportional reinsurance | |||
| Property / zbMATH Keywords: equilibrium proportional reinsurance / rank | |||
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regime switching | |||
| Property / zbMATH Keywords: regime switching / rank | |||
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relative performance | |||
| Property / zbMATH Keywords: relative performance / rank | |||
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Cramer-Lundberg model | |||
| Property / zbMATH Keywords: Cramer-Lundberg model / rank | |||
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Nash equilibrium | |||
| Property / zbMATH Keywords: Nash equilibrium / rank | |||
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stochastic control | |||
| Property / zbMATH Keywords: stochastic control / rank | |||
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Revision as of 14:05, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of non-zero-sum stochastic differential investment and reinsurance games |
scientific article |
Statements
A class of non-zero-sum stochastic differential investment and reinsurance games (English)
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24 October 2014
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Hamiltonian-Jacobi-Bellman equation
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non-zero-sum stochastic differential game
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equilibrium investment
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equilibrium proportional reinsurance
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regime switching
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relative performance
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Cramer-Lundberg model
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Nash equilibrium
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stochastic control
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