Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Yang Shen; Tak Kuen Siu
| Year of publication: |
2013
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|---|---|
| Authors: | Shen, Yang ; Siu, Tak Kuen |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 757-768
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| Subject: | Lévy process | Regime-switching | HJB equation | Stochastic differential game | Esscher transform | General equilibrium | Equivalent martingale measure | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Allgemeines Gleichgewicht | Optionspreistheorie | Option pricing theory | Stochastisches Spiel | Stochastic game | Martingal | Martingale | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010227881