Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model

DOI10.1016/j.insmatheco.2013.09.016zbMath1290.60066OpenAlexW2087875659MaRDI QIDQ2015643

Yang Shen, Tak Kuen Siu

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.016

zbMATH Keywords

equivalent martingale measuregeneral equilibriumHJB equationLévy processstochastic differential gameregime-switchingEsscher transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of game theory (91A80) Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) General equilibrium theory (91B50) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (10)

White noise space analysis and multiplicative change of measures ⋮ Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps ⋮ Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Mean-variance portfolio selection under a non-Markovian regime-switching model ⋮ Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model ⋮ Portfolio selection with regime-switching and state-dependent preferences ⋮ Pricing annuity guarantees under a double regime-switching model ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Investment-consumption with regime-switching discount rates
• Threshold models in non-linear time series analysis
• Regime-switching risk: to price or not to price?
• Option pricing and Esscher transform under regime switching
• Fair valuation of participating policies with surrender options and regime switching
• A game theoretic approach to option valuation under Markovian regime-switching models
• Pricing exotic options under regime switching
• Option pricing when the regime-switching risk is priced
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A Markov model for switching regressions
• Aggregation, efficiency and mutual fund separation in incomplete markets
• A stochastic calculus model of continuous trading: Complete markets
• Equilibrium approach of asset pricing under Lévy process
• Option pricing with regime switching by trinomial tree method
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Information and option pricings
• EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• Existence of an Equilibrium for a Competitive Economy
• Applied stochastic control of jump diffusions

This page was built for publication: Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model