Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time

DOI10.2143/AST.30.1.504625zbMath1018.91028OpenAlexW2100058504MaRDI QIDQ4407161

Publication date: 12 September 2003

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.30.1.504625

zbMATH Keywords

optimal control stochastic differential equation Bellman equation constraints asset allocation

Mathematics Subject Classification ID

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

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