Stochastic differential portfolio games for an insurer in a jump-diffusion risk process

DOI10.1007/s00186-011-0376-zzbMath1276.91095OpenAlexW1966817636MaRDI QIDQ1935921

Tak Kuen Siu, Xiang Lin, Chun-Hong Zhang

Publication date: 20 February 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-011-0376-z

zbMATH Keywords

diffusion approximationoptimal portfoliostochastic gamejump-diffusion risk process

Mathematics Subject Classification ID

2-person games (91A05) Differential games (aspects of game theory) (91A23) Other game-theoretic models (91A40) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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