Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model (Q2015643)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model |
scientific article |
Statements
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model (English)
0 references
23 June 2014
0 references
Lévy process
0 references
regime-switching
0 references
HJB equation
0 references
stochastic differential game
0 references
Esscher transform
0 references
general equilibrium
0 references
equivalent martingale measure
0 references
0 references
0 references
