Optimal impulse and regular control strategies for proportional reinsurance problem

DOI10.1007/BF02936561zbMath1079.60071MaRDI QIDQ2386802

Ruicheng Yang, Bing Xia, Kun Hui Liu

Publication date: 25 August 2005

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equation; stopping time; impulse control; optimal return function

Mathematics Subject Classification ID

60J60: Diffusion processes

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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