A class of non-zero-sum stochastic differential investment and reinsurance games

DOI10.1016/J.AUTOMATICA.2014.05.033zbMath1297.93180OpenAlexW1963798578MaRDI QIDQ466272

Sheung Chi Phillip Yam, Alain Bensoussan, Hailiang Yang, Chi Chung Siu

Publication date: 24 October 2014

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/214573

zbMATH Keywords

stochastic controlregime switchingNash equilibriumrelative performancenon-zero-sum stochastic differential gameCramer-Lundberg modelequilibrium investmentequilibrium proportional reinsuranceHamiltonian-Jacobi-Bellman equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

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