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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.
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Type Of Material: OTHER
Appears in Collections:Mathematics

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