Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model (Q2015643)
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scientific article; zbMATH DE number 6306920
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| English | Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model |
scientific article; zbMATH DE number 6306920 |
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Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model (English)
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23 June 2014
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Lévy process
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regime-switching
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HJB equation
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stochastic differential game
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Esscher transform
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general equilibrium
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equivalent martingale measure
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