Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions
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Publication:2468793
DOI10.1007/s10255-007-0387-yzbMath1127.62100OpenAlexW2127281981MaRDI QIDQ2468793
Publication date: 25 January 2008
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-007-0387-y
Hamilton-Jacobi-Bellman equationBrownian motiondiffusion approximationstochastic controljump-diffusion
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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