A stochastic differential game for quadratic-linear diffusion processes
Fleming-Bellman-Isaacs equations, Nash equilibrium, quadratic-linear diffusion process, Stochastic differential game
Advances in Applied Probability
In this paper we study a stochastic differential game between two insurers whose surplus processes are modelled by quadratic-linear diffusion processes. We consider an exit probability game. One insurer controls its risk process to minimize the probability that the surplus difference reaches a low level (indicating a disadvantaged surplus position of the insurer) before reaching a high level, while the other insurer aims to maximize the probability. We solve the game by finding the value function and the Nash equilibrium strategy in explicit forms.
Department of Mathematics
Original Publication Date
DOI of published version
UNI ScholarWorks, Rod Library, University of Northern Iowa
Luo, Shangzhen, "A stochastic differential game for quadratic-linear diffusion processes" (2016). Faculty Publications. 994.