Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
From MaRDI portal
Publication:3094689
DOI10.1239/jap/1316796911zbMath1230.91072MaRDI QIDQ3094689
Julia Eisenberg, Hanspeter Schmidli
Publication date: 25 October 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1316796911
optimal control; Hamilton-Jacobi-Bellman equation; stochastic control; classical risk model; capital injection
60J65: Brownian motion
93E20: Optimal stochastic control
60K10: Applications of renewal theory (reliability, demand theory, etc.)
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