Computation of distorted probabilities for diffusion processes via stochastic control methods.
type: Item
instance of: scholarly article
title: Computation of distorted probabilities for diffusion processes via stochastic control methods.
zbMATH Open document ID: 1103.65305
DOI: 10.1016/S0167-6687(99)00061-X
author: Virginia R. Young
author: Thaleia Zariphopoulou
published in: Insurance Mathematics \& Economics
publication date: 2000-01-01T00:00:00Z
Mathematics Subject Classification ID: 65C50
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91A15
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B26
zbMATH DE Number: 1525236
zbMATH Keywords: Risk diffusion processes
zbMATH Keywords: Distorted survival probability functions
zbMATH Keywords: Stochastic control
zbMATH Keywords: Stochastic differential games
zbMATH Keywords: Killing diffusions
zbMATH Keywords: Branching diffusions
zbMATH Keywords: Viscosity solutions
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1525236