Optimal investment, consumption and proportional reinsurance under model uncertainty
DOI10.1016/j.insmatheco.2014.09.013zbMath1306.91131MaRDI QIDQ2514622
Fenge Chen, Hu, Yijun, Xing-Chun Peng
Publication date: 3 February 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.09.013
Malliavin calculus; stochastic maximum principle; model uncertainty; investment; consumption; reinsurance
91A23: Differential games (aspects of game theory)
91A80: Applications of game theory
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91A15: Stochastic games, stochastic differential games
60H07: Stochastic calculus of variations and the Malliavin calculus
91G10: Portfolio theory
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