Time inconsistent asset-liability management with partial information
DOI10.1016/j.sysconle.2020.104687zbMath1447.91150OpenAlexW3019418324MaRDI QIDQ2189144
Guangchen Wang, Tian Xiao Wang
Publication date: 15 June 2020
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2020.104687
Riccati equationtime inconsistencystochastic linear quadratic optimal control problemKalman-Bucy filtering equationopen-loop equilibrium premium strategy
Controllability (93B05) Observability (93B07) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Actuarial mathematics (91G05)
Related Items (1)
Cites Work
- On time-inconsistent stochastic control in continuous time
- Optimal premium policy of an insurance firm: full and partial information
- Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
- Asset and liability management under a continuous-time mean-variance optimization framework
- Ruin problems with assets and liabilities of diffusion type
- An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
- Time-consistent mean-variance asset-liability management with random coefficients
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Partially observed time-inconsistency recursive optimization problem and application
- Continuous-time mean-variance asset-liability management with endogenous liabilities
- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
- Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Time-Inconsistent Stochastic Linear--Quadratic Control
- Time-Inconsistent Recursive Stochastic Optimal Control Problems
- On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
- Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
- Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
- Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
This page was built for publication: Time inconsistent asset-liability management with partial information
