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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints

Wang, Ning; Zhang, Nan; Zhuo, Jin; Qian, Linyi - In: Insurance / Mathematics & economics 96 (2021), pp. 168-184

Persistent link: https://www.econbiz.de/10012482845

Stochastic asset allocation and reinsurance game under contagious claims

Liu, Guo; Zhuo, Jin; Li, Shuanming; Zhang, Jiannan - In: Finance research letters 49 (2022), pp. 1-11

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Blackwell optimality in stochastic games

Vikas Vikram Singh; Hemachandra, N.; Rao, K. S. Mallikarjuna - In: International game theory review 15 (2013) 4, pp. 1-18

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Stochastic games with hidden states

Yamamoto, Yuichi - 2018 - This version: May 19, 2018

Persistent link: https://www.econbiz.de/10012001062

The logarithmic stochastic tracing procedure : a homotopy method to compute stationary equilibria of stochastic games

Eibelshäuser, Steffen; Klockmann, Victor; Poensgen, David - In: INFORMS journal on computing : JOC ; charting new … 35 (2023) 6, pp. 1511-1526

Persistent link: https://www.econbiz.de/10014471535

Markov Decision Processes and Stochastic Positional Games : Optimal Control on Complex Networks

Lozovanu, Dmitrii; Pickl, Stefan - 2024

This book presents recent findings and results concerning the solutions of especially finite state-space Markov decision problems and determining Nash equilibria for related stochastic games with average and total expected discounted reward payoffs. In addition, it focuses on a new class of...