OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM

DOI10.1142/S0219024906003524zbMath1137.91474MaRDI QIDQ5291317

Gabriele Stabile

Publication date: 10 May 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

optimal stopping; stochastic control; asset allocation; annuities

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

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Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Optimal asset allocation in life annuities: a note.
• Optimal Stopping of One-Dimensional Diffusions
• Utility Maximization with Discretionary Stopping