Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market (Q6089801): Difference between revisions
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scientific article; zbMATH DE number 7778968
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market |
scientific article; zbMATH DE number 7778968 |
Statements
Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market (English)
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15 December 2023
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asset-liability management
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robust optimal control
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stochastic delay equation with jump
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Hamilton-Jacobi-Bellman equation
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utility maximisation criterion
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