scientific article; zbMATH DE number 6135077

zbMATH Open1257.49024MaRDI QIDQ4906135

Xinli Zhang, Wenyu Sun

Publication date: 7 February 2013

Full work available at URL: http://www.yokohamapublishers.jp/online2/oppjo/vol8/p517.html

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlportfolio selectionproportional reinsuranceMarkov chain approximation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Utility theory (91B16) Dynamic programming (90C39)

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Optimal investment and proportional reinsurance in the Sparre Andersen model

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