Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model

DOI10.3934/MCRF.2022055MaRDI QIDQ6127341

Kazuhiro Yasuda, Hiroaki Hata

Publication date: 12 April 2024

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

zbMATH Keywords

delaystochastic controlstochastic maximum principlerisk processpower utilityFBSDEs4/2 stochastic volatility model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)

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