Stochastic control of a pension fund model with first-order Markov-dependent parameters

DOI10.1002/oca.4660020206zbMath0462.93048OpenAlexW2111611995MaRDI QIDQ3912461

Mahmut Parlar

Publication date: 1981

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.4660020206

zbMATH Keywords

feedbackquadratic performance criterionpension fundingBellmann's optimality criterion

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Dynamic programming (90C39) Optimal stochastic control (93E20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Cites Work

• Optimization of stochastic systems. Topics in discrete-time systems
• Dynamic Programming and Minimum Principles for Systems with Jump Markov Disturbances
• Control of systems with jump Markov disturbances
• Longitudinal manpower planning models

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