Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty

DOI10.1016/j.apm.2017.07.027zbMath1480.91250OpenAlexW2741153078MaRDI QIDQ2295327

Lei Wang, Yan Wang

Publication date: 12 February 2020

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2017.07.027

zbMATH Keywords

maximum principlestochastic differential gamemodel uncertaintyforward-backward stochastic differential equationsregular-singular controlasymmetry informations

Mathematics Subject Classification ID

Differential games and control (49N70) Stochastic games, stochastic differential games (91A15) Actuarial mathematics (91G05)

Related Items (2)

Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information ⋮ Parametric approximate optimal control of uncertain differential game with application to counter terror

Cites Work

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