Time inconsistent asset-liability management with partial information

DOI10.1016/J.SYSCONLE.2020.104687MaRDI QIDQ2189144zbMATH OpenOpenAlexFDO

Authors Guangchen Wang, Tianxiao 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

zbMATH Keywords

Riccati equationtime inconsistencystochastic linear quadratic optimal control problemKalman-Bucy filtering equationopen-loop equilibrium premium strategy

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Controllability (93B05) Linear-quadratic optimal control problems (49N10) Observability (93B07) Optimal stochastic control (93E20)

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Cites work

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• Partially observed time-inconsistency recursive optimization problem and application
• Ruin problems with assets and liabilities of diffusion type
• Time-consistent mean-variance asset-liability management with random coefficients
• Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
• Time-inconsistent recursive stochastic optimal control problems
• Time-inconsistent stochastic linear-quadratic control
• Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium

Cited in

(3)

• Mean-variance asset-liability management with partial information and uncertain time horizon
• Partially observed time-inconsistency recursive optimization problem and application
• An optimal portfolio and consumption problem with a benchmark and partial information

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