A reinsurance and investment game between two insurance companies with the different opinions about some extra information
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Publication:2364007
DOI10.1016/j.insmatheco.2017.04.002zbMath1394.91239OpenAlexW2610262592MaRDI QIDQ2364007
Ming Yan, Fanyi Peng, Shuhua Zhang
Publication date: 17 July 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.04.002
Nash equilibriumHamilton-Jacobi-Bellman equationsenlargement of filtrationrelative performancenon-zero-sum stochastic differential game
Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
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