Optimal control of investment in a collective pension insurance model: study of singular nonlinear problems for integro-differential equations
DOI10.1134/S0965542522090056zbMath1500.91110OpenAlexW4298325709WikidataQ115247770 ScholiaQ115247770MaRDI QIDQ2088677
S. V. Kurochkin, T. A. Belkina, N. B. Konyukhova
Publication date: 6 October 2022
Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0965542522090056
Bellman equationsingular boundary value problemsnonlinear integro-differential equationscollective pension insurance modelexponential premium size distributionoptimal control of investmentssurvival probability of insurance company
Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05)
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