Robust investment-reinsurance optimization with multiscale stochastic volatility (Q2347077): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 17:26, 2 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust investment-reinsurance optimization with multiscale stochastic volatility |
scientific article |
Statements
Robust investment-reinsurance optimization with multiscale stochastic volatility (English)
0 references
26 May 2015
0 references
investment and reinsurance
0 references
mixture of power utilities
0 references
Hamilton-Jacobi-Bellman-Isaacs equation
0 references
multiscale stochastic volatility
0 references
perturbation methods
0 references
