Stochastic Control System for Mortality Benefits

DOI10.1080/07362990802564970zbMath1156.93407OpenAlexW2101612690MaRDI QIDQ3611812

Athanasios A. Pantelous, Alexandros A. Zimbidis

Publication date: 3 March 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990802564970

zbMATH Keywords

pension fundstochastic linear quadratic optimal controlfractional Brownian motion (fBm)Carleman-type integral equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03)

Related Items

Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• A class of micropulses and antipersistent fractional Brownian motion
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• About the linear-quadratic regulator problem under a fractional Brownian perturbation
• A General Fractional White Noise Theory And Applications To Finance
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Fractional Brownian Motions, Fractional Noises and Applications