A stochastic control problem with delay arising in a pension fund model (Q483928): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s00780-010-0146-4 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2011136920 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time-to-build and cycles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Endogenous growth and time-to-build: the AK case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3355178 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Representation and control of infinite dimensional systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Market Model of Interest Rate Dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second-Order Hamilton–Jacobi Equations in Infinite Dimensions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A boundary-value problem for Hamilton-Jacobi equations in Hilbert spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite Difference Approximations for Stochastic Control Systems with Delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3051174 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4746091 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Equations in Infinite Dimensions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ergodicity for Infinite Dimensional Systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal design of the guarantee for defined contribution funds / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pension funds with a minimum guarantee: a stochastic control approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: A theory of bond portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4085497 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio management with American capital guarantee / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Solvable Stochastic Control Problems With Delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions / rank
 
Normal rank
Property / cites work
 
Property / cites work: HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistency problems for Heath-Jarrow-Morton interest rate models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discretisation of stochastic control problems for continuous time dynamics with delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fair demographic risk sharing in defined contribution pension systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment choices post-retirement in a defined contribution pension scheme / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lognormality of rates and term structure models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3375703 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Viscosity Approach to Infinite-Dimensional Hamilton--Jacobi Equations Arising in Optimal Control with State Constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probability methods for approximations in stochastic control and for elliptic equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical approximations for stochastic systems with delays in the state and control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time to Build and Aggregate Fluctuations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic programming in stochastic control of systems with delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3707054 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3159178 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control with partial information for stochastic Volterra equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Invariant measures for the Musiela equation with deterministic diffusion term / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Infinite Time Quadratic Control Problem for Linear Systems with State and Control Delays: An Evolution Equation Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank

Latest revision as of 10:52, 9 July 2024

scientific article
Language Label Description Also known as
English
A stochastic control problem with delay arising in a pension fund model
scientific article

    Statements

    A stochastic control problem with delay arising in a pension fund model (English)
    0 references
    0 references
    17 December 2014
    0 references
    pension funds
    0 references
    stochastic optimal control with delay
    0 references
    infinite-dimensional Hamilton-Jacobi-Bellman equations
    0 references
    viscosity solutions
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers