Pension funds with a minimum guarantee: a stochastic control approach

DOI10.1007/s00780-010-0127-7zbMath1303.91155OpenAlexW3124675891MaRDI 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 equationdynamic programmingviscosity solutionstochastic optimal controldefined contribution pension fundminimum guarantee

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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