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Applications of Stochastic Differential Game Theory for Markov Jump Linear Systems to Finance and Insurance

Authors :
Cheng-ke Zhang
Hai-ying Zhou
Ning Bin
Huai-nian Zhu
Source :
Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems ISBN: 9783319405865
Publication Year :
2016
Publisher :
Springer International Publishing, 2016.

Abstract

This chapter mainly introduces applications of stochastic differential game theory for Markov jump linear systems to finance and insurance. Firstly, a risk minimization problem is considered in a continuous-time Markovian regime switching financial model modulated by a continuous-time, finite-state, Markov chain.

Details

ISBN :
978-3-319-40586-5
ISBNs :
9783319405865
Database :
OpenAIRE
Journal :
Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems ISBN: 9783319405865
Accession number :
edsair.doi...........33e2005b2b86855d691c870e53007c88