Mean-variance asset-liability management problem under non-Markovian regime-switching models
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Publication:2187333
DOI10.1007/s00245-018-9523-8zbMath1443.91324OpenAlexW2889577829MaRDI QIDQ2187333
Qian Zhao, Jiaqin Wei, Yang Shen
Publication date: 2 June 2020
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-018-9523-8
asset-liability managementbackward stochastic differential equationmean-varianceregime-switchingbounded mean oscillation martingale
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Corporate finance (dividends, real options, etc.) (91G50)
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