Publication:3534747
From MaRDI portal
zbMath1153.91493MaRDI QIDQ3534747
Publication date: 4 November 2008
dynamic programming; stochastic optimal control; viscosity solutions; defined contribution pension fund; Hamilton--Jacobi--Bellman equations
93E20: Optimal stochastic control
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
Related Items
PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT, Optimal asset allocation for a DC plan with partial information under inflation and mortality risks, Pension funds with a minimum guarantee: a stochastic control approach, Bayesian optimal control for a non-autonomous stochastic discrete time system, Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model, Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations