Stochastic Brownian Game of Absolute Dominance
DOI10.1239/JAP/1402578635zbMATH Open1304.91120OpenAlexW2090957660MaRDI 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
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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)
Cites Work
- Optimal dynamic reinsurance policies for large insurance portfolios
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- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Stochastic differential portfolio games
- 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 non-proportional reinsurance control and stochastic differential games
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