On optimal proportional reinsurance and investment in a hidden Markov financial market

DOI10.1007/s10255-017-0634-9zbMath1409.91141OpenAlexW2612256814MaRDI QIDQ523747

Qing-bin Meng, Jun-na Bi, Xin Zhang

Publication date: 21 April 2017

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-017-0634-9

zbMATH Keywords

dynamic programminghidden Markov chainexponential utilityGirsanov change of measure

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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