Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
DOI10.3934/MATH.2020449zbMATH Open1484.91407OpenAlexW3083892264MaRDI QIDQ2132264FDOQ2132264
Authors: Hui Sun, Zhongyang Sun, Ya Huang 
Publication date: 27 April 2022
Published in: AIMS Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/math.2020449
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backward stochastic differential equationmean-variance criterionbounded mean oscillation martingaleopen-loop equilibrium strategynon-Markovian regime-switching
Actuarial mathematics (91G05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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