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The Existence of Optimal Bang-Bang Controls for GMxB Contracts - MaRDI portal

The Existence of Optimal Bang-Bang Controls for GMxB Contracts (Q5250040)

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scientific article; zbMATH DE number 6435983
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English
The Existence of Optimal Bang-Bang Controls for GMxB Contracts
scientific article; zbMATH DE number 6435983

    Statements

    title
    The Existence of Optimal Bang-Bang Controls for GMxB Contracts (English)
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    author
    Parsiad Azimzadeh
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    Peter A. I. Forsyth
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    publication date
    15 May 2015
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    zbMATH Keywords
    bang-bang controls
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    GMxB guarantees
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    convex optimization
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    optimal stochastic control
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    Identifiers

    DOI
    10.1137/140953885
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    Mathematics Subject Classification ID
    91G20
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    90C25
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    49J30
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    zbMATH DE Number
    6435983
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    OpenAlex ID
    W2169035498
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    arXiv ID
    1502.05743
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