We study a stochastic differential game between two insurance companies who employ reinsurance to reduce the risk of exposure. Under the assumption that the companies have large insurance portfolios compared to any individual claim size, their surplus processes can be approximated by stochastic differential equations. We formulate competition between the two companies as a game with a single pa...

In this paper, we present an application of the stochastic calculusto the problem of modeling electrical networks. The filtering problem have animportant role in the theory of stochastic differential equations(SDEs). In thisarticle, we present an application of the continuous Kalman-Bucy filter for a RLcircuit. The deterministic model of the circuit is replaced by a stochastic model byadding a ...

The intensity of China’s new energy vehicle (NEV) subsidies has gradually declined since 2017 and is expected to end in the next few years, thereby causing market fluctuations affecting investment strategies both local governments automotive enterprises. In order examine effects a subsidy cancellation, this study introduced it as an external disturbance establish differential game model, which ...

In this paper we use a class of stochastic functional Kolmogorov-type model with jumps to describe the evolutions of population dynamics. By constructing a special Lyapunov function, we show that the stochastic functional differential equation associated with our model admits a unique global solution in the positive orthant, and, by the exponential martingale inequality with jumps, we dis...

To motivate more people to participate in vaccination campaigns, various subsidy policies are often supplied by government and the health sectors. However, these external incentives may also alter the vaccination decisions of the broader public, and hence the choice of incentive needs to be carefully considered. Since human behavior and the networking-constrained interactions among individuals ...

This paper is concerned with a Stackelberg stochastic differential game asymmetric noisy observation. In our model, the follower cannot observe state process directly, but could observation process, while leader can completely process. Open-loop equilibrium considered. The first solve optimal control problem partial observation, maximum principle and verification theorem are obtained. Then turn...

We consider the problem of finding stationary Nash equilibria (NE) in a finite discounted general-sum stochastic game. We first generalize a non-linear optimization problem from [9] to a general N player game setting. Next, we break down the optimization problem into simpler sub-problems that ensure there is no Bellman error for a given state and an agent. We then provide a characterization of ...

Often, vaccination programs are carried out based on self-interest rather than being mandatory. Owing to the perceptions about risks associated with vaccines and the ‘herd immunity’ effect, it may provide suboptimal vaccination coverage for the population as a whole. In this case, some subsidy policies may be offered by the government to promote vaccination coverage. But, not all subsidy polici...