A stochastic control problem with delay arising in a pension fund model

DOI10.1007/s00780-010-0146-4zbMath1302.93238OpenAlexW2011136920MaRDI QIDQ483928

Salvatore Federico

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/s00780-010-0146-4

zbMATH Keywords

viscosity solutionspension fundsinfinite-dimensional Hamilton-Jacobi-Bellman equationsstochastic optimal control with delay

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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