On Optimal Retirement

DOI10.1239/jap/1402578628zbMath1311.60061arXiv1605.01028OpenAlexW2044770765MaRDI QIDQ5169728

Dean P. Foster, Lawrence A. Shepp, Philip A. Ernst

Publication date: 11 July 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.01028

zbMATH Keywords

optimal controlstochastic differential equationsItō processretirement investing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (2)

The value of foresight ⋮ Exercising control when confronted by a (Brownian) spider

Cites Work

• The Pricing of Options and Corporate Liabilities
• Universal Portfolios
• Multi-view Regression Via Canonical Correlation Analysis
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