Optimal stochastic differential games with VaR constraints
DOI10.3934/DCDSB.2013.18.1889zbMATH Open1273.93177OpenAlexW2315162312MaRDI QIDQ379028FDOQ379028
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
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Dynamic programming in optimal control and differential games (49L20) Dynamic games (91A25) Optimal stochastic control (93E20)
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- Robust reinsurance contracts with risk constraint
- Differential optimization in finite-dimensional spaces
- The optimal mean variance problem with inflation
- Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model
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- Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
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