A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)

DOI10.1007/S00211-008-0152-ZzbMath1141.93066OpenAlexW2159823040MaRDI QIDQ937233

Zhuliang Chen, Peter A. I. Forsyth

Publication date: 20 August 2008

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-008-0152-z

zbMATH Keywords

viscosity solutionHamilton-Jacobi-Bellmann variational inequalityimpulsive stochastic control

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Finite difference methods for boundary value problems involving PDEs (65N06) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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