Pension funds with a minimum guarantee: a stochastic control approach
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Publication:483716
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
Hamilton-Jacobi-Bellman equation; dynamic programming; viscosity solution; stochastic optimal control; defined contribution pension fund; minimum guarantee
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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