Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
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Publication:2152267
DOI10.1007/s11009-022-09930-9zbMath1489.91228OpenAlexW4221011586MaRDI QIDQ2152267
Publication date: 7 July 2022
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-022-09930-9
stochastic optimal controlinflationHJB equationPoisson processdynamic programming approachDC pension plan
Applications of optimal control and differential games (49N90) Dynamic programming (90C39) Portfolio theory (91G10) Actuarial mathematics (91G05)
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