Jump-diffusion asset-liability management via risk-sensitive control

DOI10.1007/s00291-014-0371-xzbMath1318.91180OpenAlexW3123725408MaRDI QIDQ2516637

Sébastien Lleo, Mark H. A. Davis

Publication date: 3 August 2015

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-014-0371-x

zbMATH Keywords

classical solutionsasset-liability managementrisk-sensitive controlviscosity solutionsjump-diffusion processesrisk-sensitive asset managementfund separation theorems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Financial optimization: optimization paradigms and financial planning under uncertainty

Cites Work

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