Asymptotic Behavior of an Optimal Investment-Reinsurance Problem with General Utility Functions
It is usually extremely difficult to derive an analytical solution to the Hamilton-Jacobi-Bellman (HJB) equation for some optimal control problems under general utility functions, while this paper provides a dual control method to solve the HJB equation for an optimal investment-reinsurance problem...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/1895090 |
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