scientific article; zbMATH DE number 7070811

DOI10.3969/J.ISSN.1001-4268.2018.05.001zbMATH Open1424.91015MaRDI QIDQ5383693

Peng Yang

Publication date: 21 June 2019

Title of this publication is not available (Why is that?)

zbMATH Keywords

linear-quadratic controlstochastic differential gamespower utilityDC pensionVasicek stochastic interest rate

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic games, stochastic differential games (91A15)

Related Items (1)

A defined benefit pension plan game with Brownian and Poisson jumps uncertainty

Recommendations

• Stochastic optimal control of DC pension funds 👍 👎
• Stochastic differential portfolio games for an insurer in a jump-diffusion risk process 👍 👎
• Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model 👍 👎
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework 👍 👎
• A stochastic Nash equilibrium portfolio game between two DC pension funds 👍 👎
• Stochastic differential games 👍 👎
• Stochastic differential portfolio games with Duffie‐Kan interest rate 👍 👎
• Differential games for stochastic partial differential equations 👍 👎
• Stochastic differential games: the potential approach 👍 👎

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5383693)