Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance (Q5087005)
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scientific article; zbMATH DE number 7554602
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| English | Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance |
scientific article; zbMATH DE number 7554602 |
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Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance (English)
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8 July 2022
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drawdown
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diffusion approximation
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optimal proportional reinsurance
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Hamilton-Jacobi-Bellman equation
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