Department of Statistics, The Chinese University of Hong Kong
Stochastic Linear-Quadratic Control, Robustness, Model Uncertainty, Time-Inconsistent Cost Function, Forward-Backward Stochastic Differential Equation
Reinsurance-investment problem; time-inconsistency; backward stochastic differential equation (BSDE); mean-variance; Ornstein-Uhlenbeck (OU) process; constant elasticity of variance (CEV) process.
Closed-Loop Control, Robust Mean-Variance Portfolio Selection, State-Dependence, Time-Inconsistency, Model Uncertainty
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