Stochastic differential reinsurance and investment games with delay under VaR constraints⋆

DOI10.1080/03610926.2022.2103149OpenAlexW4297826511MaRDI QIDQ6118259

Xinya He, Ailing Gu, Haixiang Yao

Publication date: 23 February 2024

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2022.2103149

zbMATH Keywords

backward inductionNash equilibrium strategiesKarush-Kuhn-Tucker conditionstochastic differential delay gamesVaR constraints

Mathematics Subject Classification ID

Statistics (62-XX)

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