DOI10.3969/j.issn.1001-8395.2016.02.017zbMath1363.91048MaRDI QIDQ2824375
Peng Yang, Qi Liu
Publication date: 6 October 2016
zbMATH Keywords
investmentlinear-quadratic controlreinsurancestochastic differential gamesmean-variance criterion
Mathematics Subject Classification ID
Applications of optimal control and differential games (49N90) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)