Stochastic differential game formulation on the reinsurance and investment problem.
Danping LiXimin RongHui ZhaoPublished in: Int. J. Control (2015)
Keyphrases
- asset liability management
- video games
- game theory
- nash equilibrium
- game playing
- financial institutions
- stochastic dynamic programming
- stochastic optimization
- pursuit evasion
- computer games
- game play
- game theoretic
- role playing
- reinforcement learning
- maximum a posteriori probability
- return on investment
- stochastic programming
- stochastic process
- digital games
- long run
- game design
- monte carlo
- decision making
- stochastic processes
- robust optimization
- learning automata
- optimal strategy
- serious games
- learning games
- educational games
- linear program
- virtual world
- objective function