Optimal investment strategy post retirement without ruin possibility: a numerical algorithm

DOI10.1016/j.cam.2019.02.027zbMath1422.91762OpenAlexW2922009429WikidataQ128264604 ScholiaQ128264604MaRDI QIDQ2315936

Hassan Dadashi

Publication date: 26 July 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.02.027

zbMATH Keywords

finite difference methodHJB equationdecumulation phaseminimum guaranteedefined contribution plan

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for boundary value problems involving PDEs (65N06) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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