Immunization and max-min optimal control

DOI10.1023/A:1022686225209zbMATH Open0898.49014MaRDI QIDQ1379942FDOQ1379942

Authors: L. Ghezzi 

Publication date: 1 November 1998

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

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zbMATH Keywords

dynamic programmingimmunizationterm structure of interest ratesmax-min optimal control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Existence of solutions for minimax problems (49J35)

Cites Work

• Title not available (Why is that?)
• A note on Shiu-Fisher-Weil immunization theorem
• Finite-horizon optimal control with pointwise cost functional

Cited In (4)

• A maxmin policy for bond management
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bond management and max-min optimal control.

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