Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
DOI10.1016/J.INSMATHECO.2013.09.016zbMATH Open1290.60066OpenAlexW2087875659MaRDI QIDQ2015643FDOQ2015643
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.016
regime-switchingHJB equationequivalent martingale measureEsscher transformgeneral equilibriumstochastic differential gameLévy process
Processes with independent increments; Lévy processes (60G51) Dynamic programming (90C39) Applications of game theory (91A80) Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic games, stochastic differential games (91A15) General equilibrium theory (91B50)
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Cited In (10)
- White noise space analysis and multiplicative change of measures
- Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
- Portfolio selection with regime-switching and state-dependent preferences
- Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
- Mean-variance portfolio selection under a non-Markovian regime-switching model
- Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
- Pricing annuity guarantees under a double regime-switching model
- Option pricing under regime-switching models: novel approaches removing path-dependence
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