Risk minimizing portfolios and HJBI equations for stochastic differential games

By Sure Mataramvura, Bernt Øksendal. 2008

165 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/986a9da844ec823ed5c2812a8095179377fda727

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Agnès Sulem
2. Tak Kuen Siu
3. T. An
4. Xin Zhang
5. Bernt Øksendal
6. Hoi Ying Wong
7. Chi Seng Pun
8. Robert J. R. Elliott

In Finance

1. Agnès Sulem
2. Bernt Øksendal
3. Tak Kuen Siu
4. T. An
5. Xin Zhang
6. B. Larssen
7. David Nualart
8. Fred Espen Benth

In Management Science and Operations Research

1. Agnès Sulem
2. Bernt Øksendal
3. Tak Kuen Siu
4. T. An
5. Xin Zhang
6. Qingxin Meng

Citations in the corpus

• Optimal investment and reinsurance of an insurer with model uncertainty (2009, background): “As in Mataramvura and Øksendal (2008), we define a vector process {V (t)|t ∈ [0, T ]} by dV (t) = (dV0(t), dV1(t), dV2(t))′”
• Maximum Principle for Stochastic Differential Games with Partial Information (2008, background): “In the recent paper by Mataramvura and Øksendal [6], the stochastic differential game was solved with restriction to consider only Markov controls.”
• RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS (2009, methodology): “By applying Theorem 3.2 in Mataramvura and Øksendal (2008) to our situation we get the following verification theorem: THEOREM 4.1 (HJBI equation).”