A class of non-zero-sum stochastic differential investment and reinsurance games (Q466272)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6361552
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A class of non-zero-sum stochastic differential investment and reinsurance games |
scientific article; zbMATH DE number 6361552 |
Statements
A class of non-zero-sum stochastic differential investment and reinsurance games (English)
0 references
24 October 2014
0 references
Hamiltonian-Jacobi-Bellman equation
0 references
non-zero-sum stochastic differential game
0 references
equilibrium investment
0 references
equilibrium proportional reinsurance
0 references
regime switching
0 references
relative performance
0 references
Cramer-Lundberg model
0 references
Nash equilibrium
0 references
stochastic control
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8841227293014526
0 references
0.879826545715332
0 references
0.8797727823257446
0 references
0.8778737783432007
0 references
