Optimal investment and proportional reinsurance with constrained control variables
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Publication:3098479
DOI10.1002/oca.965zbMath1237.91133OpenAlexW1987190548MaRDI QIDQ3098479
Zhibin Liang, Lihua Bai, Jun-Yi Guo
Publication date: 17 November 2011
Published in: Optimal Control Applications and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/oca.965
Hamilton-Jacobi-Bellman equationBrownian motioninvestmentcompound Poisson processproportional reinsuranceexponential utility
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