Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model (Q6127341)
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scientific article; zbMATH DE number 7831669
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model |
scientific article; zbMATH DE number 7831669 |
Statements
Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model (English)
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12 April 2024
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4/2 stochastic volatility model
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stochastic control
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power utility
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risk process
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delay
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stochastic maximum principle
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FBSDEs
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