An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
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Publication:661250
DOI10.1016/j.insmatheco.2010.07.003zbMath1231.91491OpenAlexW2031555114MaRDI QIDQ661250
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.07.003
quadratic optimizationbackward stochastic differential equationequity-linked payment processunsystematic and systematic insurance riskweak property of predictable representation
Processes with independent increments; Lévy processes (60G51) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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