Stochastic Brownian Game of Absolute Dominance

DOI10.1239/JAP/1402578635zbMATH1304.91120OpenAlexW2090957660MaRDI QIDQ5169736FDOQ5169736

Authors 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 approximationreinsurancestochastic differential gameabsolute dominance

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of game theory (91A80) Differential games (aspects of game theory) (91A23) 2-person games (91A05) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 4125214 (Why is no real title available?)
• A diffusion approximation for the ruin function of a risk process with compounding assets
• A stochastic differential reinsurance game
• Diffusion approximations for a risk process with the possibility of borrowing and investment
• On absolute ruin minimization under a diffusion approximation model
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal non-proportional reinsurance control and stochastic differential games
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Stochastic differential portfolio games

Cited in

(2)

• Stochastic differential reinsurance games in diffusion approximation models
• Drifting games and Brownian motion

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