Stochastic Brownian Game of Absolute Dominance

DOI10.1239/jap/1402578635zbMath1304.91120MaRDI QIDQ5169736

Shangzhen Luo

Publication date: 11 July 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1402578635

zbMATH Keywords

diffusion approximation; stochastic differential game; reinsurance; absolute dominance

Mathematics Subject Classification ID

91A05: 2-person games

91A23: Differential games (aspects of game theory)

91A80: Applications of game theory

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

91A15: Stochastic games, stochastic differential games

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Stochastic differential reinsurance games in diffusion approximation models

Cites Work

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