Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process (Q634007)
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scientific article; zbMATH DE number 5934941
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 5934941 |
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Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process (English)
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2 August 2011
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stochastic control
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Hamilton-Jacobi-bellman equation
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Ornstein-Uhlenbeck process
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compound Poisson process
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Brownian motion
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exponential utility
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filtering
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partial observations
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proportional reinsurance
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investment
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