Time inconsistent asset-liability management with partial information
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Publication:2189144
DOI10.1016/j.sysconle.2020.104687zbMath1447.91150MaRDI QIDQ2189144
Guangchen Wang, Tian Xiao Wang
Publication date: 15 June 2020
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2020.104687
Riccati equation; time inconsistency; stochastic linear quadratic optimal control problem; Kalman-Bucy filtering equation; open-loop equilibrium premium strategy
93B05: Controllability
93B07: Observability
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
91G05: Actuarial mathematics