Optimal stochastic differential games with VaR constraints (Q379028)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal stochastic differential games with VaR constraints |
scientific article |
Statements
Optimal stochastic differential games with VaR constraints (English)
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12 November 2013
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optimal investment
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proportional reinsurance
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stochastic differential game
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risk constraint
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Nash equilibria
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HJBI equations
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dynamic programming
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