Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market

DOI10.1080/00207179.2022.2125444zbMath1530.91559MaRDI QIDQ6089801

Hui Mi, Y. Yuan

Publication date: 15 December 2023

Published in: International Journal of Control (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; asset-liability management; robust optimal control; stochastic delay equation with jump; utility maximisation criterion

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G15: Financial markets

60J74: Jump processes on discrete state spaces