Optimal investment and premium control in a nonlinear diffusion model
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Publication:1690570
DOI10.1007/s10255-017-0709-7zbMath1402.91220OpenAlexW2770507588MaRDI QIDQ1690570
Ming Zhou, Chuan-Cun Yin, Kam-Chuen Yuen
Publication date: 19 January 2018
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/249691
investmentCARA utilityHamilton-Jacobi-Bellman (HJB) equationdependent control policiespremium control
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