• We study a hybrid stochastic differential reinsurance and investment game with bounded memory. consider the reinsurer’s monopoly competitive relationship between insurers. derive equilibrium strategy value functions explicitly. find factors reduce demand premium price. delay factor discourages or stimulates depending on length of delay. This paper investigates one reinsurer two insurers, incl...

In this paper a noncooperative, two person, zero sum, stochastic differential game is formulated and solved that is described by a linear stochastic system and a quadratic cost functional for the two players. The optimal strategies for the two players are given explicitly using a relatively simple direct method. The noise process for the two player linear system can be an arbitrary square integ...

<p style='text-indent:20px;'>This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs) partial information, where the information follower sub-<inline-formula><tex-math id="M1">\begin{document}$ \sigma $\end{document}</tex-math></inline-formula>-algebra that leader. Necessary and sufficient conditions optimality for leade...

<p style='text-indent:20px;'>We study a nonzero-sum risk-sensitive stochastic differential game for controlled reflecting diffusion processes in the nonnegative orthant. We treat two cost evaluation criteria, namely, discounted and ergodic cost. Under certain assumptions, we establish existence of Nash equilibria. Also, completely characterize equilibrium criterion space stationary Markov...

In this paper, we establish a model based on real options theory and fractional Brownian motion (FBM) with jumps to price green bonds, thus alleviate the externalities of bonds. We assume that floating value bonds is linked carbon price. The emission trading mechanism government subsidy policy are introduced into model, expression derived from stochastic differential utility framework fast Four...