Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process (Q634007)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process |
scientific article |
Statements
Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process (English)
0 references
2 August 2011
0 references
stochastic control
0 references
Hamilton-Jacobi-bellman equation
0 references
Ornstein-Uhlenbeck process
0 references
compound Poisson process
0 references
Brownian motion
0 references
exponential utility
0 references
filtering
0 references
partial observations
0 references
proportional reinsurance
0 references
investment
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
