A stochastic differential reinsurance game
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Publication:3578668
DOI10.1239/jap/1276784895zbMath1222.93238OpenAlexW2015541347MaRDI QIDQ3578668
Publication date: 20 July 2010
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1276784895
stochastic controlNash equilibriumstochastic differential gameproportional reinsuranceCramer-Lundberg model
Differential games and control (49N70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Stochastic systems in control theory (general) (93E03)
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