Pension funds with a minimum guarantee: a stochastic control approach
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Publication:483716
DOI10.1007/S00780-010-0127-7zbMATH Open1303.91155OpenAlexW3124675891MaRDI QIDQ483716FDOQ483716
Authors: Marina Di Giacinto, Salvatore Federico, Fausto Gozzi 
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-010-0127-7
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dynamic programmingHamilton-Jacobi-Bellman equationstochastic optimal controlviscosity solutiondefined contribution pension fundminimum guarantee
Portfolio theory (91G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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Cited In (51)
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