Jump-diffusion asset-liability management via risk-sensitive control (Q2516637)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-diffusion asset-liability management via risk-sensitive control |
scientific article |
Statements
Jump-diffusion asset-liability management via risk-sensitive control (English)
0 references
3 August 2015
0 references
asset-liability management
0 references
risk-sensitive asset management
0 references
risk-sensitive control
0 references
classical solutions
0 references
viscosity solutions
0 references
jump-diffusion processes
0 references
fund separation theorems
0 references
