Pension funds with a minimum guarantee: a stochastic control approach

DOI10.1007/s00780-010-0127-7zbMath1303.91155MaRDI QIDQ483716

Salvatore Federico, Marina Di Giacinto, 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

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; dynamic programming; viscosity solution; stochastic optimal control; defined contribution pension fund; minimum guarantee

Mathematics Subject Classification ID

93E20: Optimal stochastic control

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

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

91G10: Portfolio theory

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