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

DOI10.1007/S00291-014-0371-XzbMATH Open1318.91180OpenAlexW3123725408MaRDI QIDQ2516637FDOQ2516637

Authors: Mark H. A. Davis, Sébastien Lleo 

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

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zbMATH Keywords

viscosity solutionsclassical solutionsrisk-sensitive controljump-diffusion processesasset-liability managementrisk-sensitive asset managementfund separation theorems

Mathematics Subject Classification ID

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

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Cited In (3)

• An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
• Title not available (Why is that?)
• Financial optimization: optimization paradigms and financial planning under uncertainty

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