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Applications of Stochastic Differential Game Theory for Markov Jump Linear Systems to Finance and Insurance
- 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.
- Subjects :
- 0209 industrial biotechnology
Markov chain
business.industry
Variable-order Markov model
Markov process
02 engineering and technology
Markov model
symbols.namesake
Markov jump linear systems
020901 industrial engineering & automation
Differential game
symbols
Economics
Financial modeling
business
Mathematical economics
Financial services
Subjects
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