Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
type: Item
instance of: scholarly article
title: Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
zbMATH Open document ID: 1290.60066
author: Yang Shen
author: Tak Kuen Siu
published in: Insurance Mathematics \& Economics
publication date: 2014-06-23T00:00:00Z
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J27
Mathematics Subject Classification ID: 91A80
Mathematics Subject Classification ID: 91A15
Mathematics Subject Classification ID: 91B50
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 6306920
zbMATH Keywords: Lévy process
zbMATH Keywords: regime-switching
zbMATH Keywords: HJB equation
zbMATH Keywords: stochastic differential game
zbMATH Keywords: Esscher transform
zbMATH Keywords: general equilibrium
zbMATH Keywords: equivalent martingale measure
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2013.09.016
OpenAlex ID: W2087875659
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DOI: 10.1016/J.INSMATHECO.2013.09.016
description: scientific article; zbMATH DE number 6306920