Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
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Publication:2132264
DOI10.3934/math.2020449zbMath1484.91407OpenAlexW3083892264MaRDI QIDQ2132264
Hui Sun, Ya Huang, Zhongyang Sun
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
backward stochastic differential equationmean-variance criterionbounded mean oscillation martingaleopen-loop equilibrium strategynon-Markovian regime-switching
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)
Related Items (2)
Maximizing the goal-reaching probability before drawdown with borrowing constraint ⋮ Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
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