Stochastic differential investment-reinsurance games with capital injection-barrier dividend

DOI10.3724/SP.J.1249.2017.04364zbMath1389.91049OpenAlexW2765710229MaRDI QIDQ3132027

Jianjun Lou, Xuanhui Liu, Siyuan Chen, Yongqiang Ji, Zongqi Sun

Publication date: 29 January 2018

Published in: Journal of Shenzhen University Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3724/sp.j.1249.2017.04364

zbMATH Keywords

game theorystochastic differential gameoperations researchproportional reinsuranceHamilton-Jacobi-Bellman-Isaacs equationinvestment strategies

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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