Optimal stochastic differential games with VaR constraints
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Publication:379028
DOI10.3934/dcdsb.2013.18.1889zbMath1273.93177OpenAlexW2315162312MaRDI QIDQ379028
Jingzhen Liu, Ka-Fai Cedric Yiu
Publication date: 12 November 2013
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2013.18.1889
dynamic programmingNash equilibriastochastic differential gameproportional reinsurancerisk constraintoptimal investmentHJBI equations
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Dynamic games (91A25)
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