๐”– Bobbio Scriptorium
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A stochastic Hamilton-Jacobi theory in stochastic Hamiltonian mechanics for diffusion processes

โœ Scribed by T. Misawa

Book ID
112835593
Publisher
Springer-Verlag,Italian Physical Society
Year
1987
Weight
913 KB
Volume
99
Category
Article
ISSN
0369-3554

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We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selection problem is formulated as a two-person, zerosum, stochastic differential game between the insurer