Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility

DOI10.1007/S11009-024-10072-3zbMATH Open1537.91292MaRDI QIDQ6541020

Yumo Zhang

Publication date: 17 May 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityasset-liability managementbackward stochastic differential equationrelative performance concernsstochastic inflationnon-zero-sum game

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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