On risk reserve under distribution constraints

DOI10.7151/DMPS.1015zbMath0984.60048OpenAlexW2324177996MaRDI QIDQ2718383

Mariusz Michta

Publication date: 24 March 2002

Published in: Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e2733715d9c6487bba5e68290d4ff77b20b875ea

zbMATH Keywords

stochastic equationsmartingalesGirsanov's theoremviabilityreserve process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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