Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
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Publication:5213096
DOI10.4134/BKMS.B181094zbMath1443.91253OpenAlexW3175541036MaRDI QIDQ5213096
Jianjing Ma, Yongsheng Xing, Guo-jing Wang
Publication date: 31 January 2020
Full work available at URL: http://koreascience.or.kr:80/article/JAKO201934340926375.pdf
Ornstein-Uhlenbeck processHamilton-Jacobi-Bellman-Isaacs equationjump-diffusion processrobust optimal control
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