A stochastic differential game for quadratic-linear diffusion processes
DOI10.1017/APR.2016.69zbMATH Open1357.91021OpenAlexW2561564124MaRDI QIDQ2963689FDOQ2963689
Authors: Shangzhen Luo 
Publication date: 21 February 2017
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1482548433
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Nash equilibriuminsurancestochastic differential gameFleming-Bellman-Isaacs equationsquadratic-linear diffusion process
Diffusion processes (60J60) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
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