A stochastic control problem with delay arising in a pension fund model
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Publication:483928
DOI10.1007/S00780-010-0146-4zbMATH Open1302.93238OpenAlexW2011136920MaRDI QIDQ483928FDOQ483928
Authors: 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
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- scientific article; zbMATH DE number 2134039
viscosity solutionspension fundsinfinite-dimensional Hamilton-Jacobi-Bellman equationsstochastic optimal control with delay
Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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