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Publication:3534747
zbMath1153.91493MaRDI QIDQ3534747
Publication date: 4 November 2008
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
dynamic programmingstochastic optimal controlviscosity solutionsdefined contribution pension fundHamilton--Jacobi--Bellman equations
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PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT ⋮ Optimal asset allocation for a DC plan with partial information under inflation and mortality risks ⋮ Pension funds with a minimum guarantee: a stochastic control approach ⋮ Bayesian optimal control for a non-autonomous stochastic discrete time system ⋮ Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations ⋮ Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
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