Stochastic Brownian Game of Absolute Dominance

DOI10.1239/JAP/1402578635zbMath1304.91120OpenAlexW2090957660MaRDI QIDQ5169736

Shangzhen Luo

Publication date: 11 July 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1402578635

zbMATH Keywords

diffusion approximationstochastic differential gamereinsuranceabsolute dominance

Mathematics Subject Classification ID

2-person games (91A05) Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

Stochastic differential reinsurance games in diffusion approximation models

Cites Work

• Unnamed Item
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal non-proportional reinsurance control and stochastic differential games
• On absolute ruin minimization under a diffusion approximation model
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• A stochastic differential reinsurance game
• A diffusion approximation for the ruin function of a risk process with compounding assets
• Diffusion approximations for a risk process with the possibility of borrowing and investment
• Stochastic differential portfolio games

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