Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon
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Publication:2238961
DOI10.1007/s00245-021-09770-yzbMath1476.62230OpenAlexW3140227066MaRDI QIDQ2238961
Publication date: 2 November 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-021-09770-y
backward stochastic differential equationjump-diffusionregime-switchingbounded mean oscillation martingalemean-variance asset-liability management
Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Optimal stochastic control (93E20) Non-Markovian processes: hypothesis testing (62M07)
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