Immunization and max-min optimal control

DOI10.1023/A:1022686225209zbMath0898.49014MaRDI QIDQ1379942

Luca Luigi Ghezzi

Publication date: 1 November 1998

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingterm structure of interest ratesimmunizationmax-min optimal control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Existence of solutions for minimax problems (49J35)

Related Items (2)

Bond management and max-min optimal control. ⋮ A maxmin policy for bond management

Cites Work

• Unnamed Item
• A note on Shiu-Fisher-Weil immunization theorem
• Finite-horizon optimal control with pointwise cost functional

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