A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
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Publication:4916397
DOI10.1080/07362994.2012.727144zbMath1267.91087MaRDI QIDQ4916397
Publication date: 22 April 2013
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2012.727144
backward stochastic differential equations; insurance risk; optimal investment; hidden regime switching; non-Markovian framework
93E11: Filtering in stochastic control theory
93E20: Optimal stochastic control
91G80: Financial applications of other theories
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