Please use this identifier to cite or link to this item: http://dl.pgu.ac.ir/handle/Hannan/67309
Title: Jump-diffusion asset-liability management via risk-sensitive control
Keywords: Science & Technology;Technology;Operations Research & Management Science;Asset and liability management;Risk-sensitive asset management;Risk-sensitive control;Classical solutions;Viscosity solutions;Jump diffusion processes;Fund separation theorems;VISCOSITY SOLUTIONS;Operations Research;0102 Applied Mathematics;0103 Numerical And Computational Mathematics;1503 Business And Management
Issue Date: 16-Nov-2016
Publisher: Springer Verlag (Germany)
Description: In this paper, we use risk-sensitive control methods to solve a jump-diffusion asset–liability management (ALM) problem. We show that the ALM problem admits a unique classical ( C1,2C1,2 ) solution under two different sets of assumptions.
URI: https://dx.doi.org/10.1007/s00291-014-0371-x
Other Identifiers: http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000356732400005&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
0171-6468
http://hdl.handle.net/10044/1/42518
Type Of Material: OTHER
Appears in Collections:Mathematics

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