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

DOI10.1080/00207179.2022.2125444zbMath1530.91559OpenAlexW4297053118MaRDI QIDQ6089801

Hui Mi, Y. Yuan

Publication date: 15 December 2023

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

Full work available at URL: https://doi.org/10.1080/00207179.2022.2125444

zbMATH Keywords

Hamilton-Jacobi-Bellman equationasset-liability managementrobust optimal controlstochastic delay equation with jumputility maximisation criterion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial markets (91G15) Jump processes on discrete state spaces (60J74)

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