Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds
DOI10.1080/00207179.2019.1590740zbMATH Open1460.91220OpenAlexW2920795665WikidataQ128249202 ScholiaQ128249202MaRDI QIDQ5855355FDOQ5855355
Authors: Kai Du, Jianhui Huang, Zhen Wu 
Publication date: 18 March 2021
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2019.1590740
Recommendations
- Linear quadratic mean-field-game of backward stochastic differential systems
- Mean field game for linear-quadratic stochastic recursive systems
- Linear quadratic mean field game with control input constraint
- Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
- A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise
forward-backward stochastic differential equationmean-field gameterminal constraint\(\epsilon\)-Nash equilibrium
Actuarial mathematics (91G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Mean field games and control (49N80)
Cites Work
- Forward-backward stochastic differential equations and their applications
- Ruin problems with assets and liabilities of diffusion type
- Probabilistic analysis of mean-field games
- Stochastic Differential Utility
- An Introductory Approach to Duality in Optimal Stochastic Control
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Title not available (Why is that?)
- Backward Stochastic Differential Equations in Finance
- Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
- Mean field games and mean field type control theory
- Adapted solution of a backward stochastic differential equation
- Linear-quadratic control of backward stochastic differential equations
- Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
- Nash equilibrium strategies for a defined contribution pension management
- Mean field games for large-population multiagent systems with Markov jump parameters
- Asymptotically Optimal Decentralized Control for Large Population Stochastic Multiagent Systems
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Title not available (Why is that?)
- Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
- Title not available (Why is that?)
- A BSDE approach to a risk-based optimal investment of an insurer
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- Forward-backward stochastic differential equations and backward linear quadratic stochastic optimal control problem
- Optimal investment for a pension fund under inflation risk
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- Optimal premium policy of an insurance firm: full and partial information
- Backward Mean-Field Linear-Quadratic-Gaussian (LQG) Games: Full and Partial Information
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Stochastic analysis of life insurance surplus
- Mean-Field Linear-Quadratic-Gaussian (LQG) Games for Stochastic Integral Systems
- Small gain theorem with restrictions for uncertain time-varying nonlinear systems
- Linear quadratic mean field game with control input constraint
Cited In (1)
This page was built for publication: Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5855355)
