Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
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Publication:2691381
DOI10.3934/jimo.2022130OpenAlexW4289774869MaRDI QIDQ2691381
Xi-Min Rong, Hui Zhao, Xue Dong
Publication date: 29 March 2023
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022130
optimal investmentHamilton-Jacobi-Bellman (HJB) equationconstant elasticity of variance (CEV) modelnon-zero sum game
Financial applications of other theories (91G80) Portfolio theory (91G10) Other classical set theory (including functions, relations, and set algebra) (03E20)
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