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Applications of Stochastic Differential Game Theory for Markov Jump Linear Systems to Finance and Insurance

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Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems

Part of the book series: Studies in Systems, Decision and Control ((SSDC,volume 67))

Abstract

This chapter mainly introduces applications of stochastic differential game theory for Markov jump linear systems to finance and insurance. Firstly, a risk minimization problem is considered in a continuous-time Markovian regime switching financial model modulated by a continuous-time, finite-state, Markov chain.

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Author information

Authors and Affiliations

  1. School of Economics and Commerce, Guangdong University of Technology, Guangzhou, China

    Cheng-ke Zhang & Huai-nian Zhu

  2. School of Management, Guangdong University of Technology, Guangzhou, China

    Hai-ying Zhou & Ning Bin

Authors
  1. Cheng-ke Zhang
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  2. Huai-nian Zhu
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  3. Hai-ying Zhou
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  4. Ning Bin
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Correspondence to Cheng-ke Zhang .

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Zhang, Ck., Zhu, Hn., Zhou, Hy., Bin, N. (2017). Applications of Stochastic Differential Game Theory for Markov Jump Linear Systems to Finance and Insurance. In: Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems. Studies in Systems, Decision and Control, vol 67. Springer, Cham. https://doi.org/10.1007/978-3-319-40587-2_7

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  • DOI: https://doi.org/10.1007/978-3-319-40587-2_7

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-40586-5

  • Online ISBN: 978-3-319-40587-2

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