A stochastic differential reinsurance game

DOI10.1239/jap/1276784895zbMath1222.93238OpenAlexW2015541347MaRDI QIDQ3578668

Xudong Zeng

Publication date: 20 July 2010

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1276784895

zbMATH Keywords

stochastic controlNash equilibriumstochastic differential gameproportional reinsuranceCramer-Lundberg model

Mathematics Subject Classification ID

Differential games and control (49N70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Stochastic systems in control theory (general) (93E03)

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Cites Work

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