A general optimization framework for the annuity contracts with multiscale stochastic volatility

DOI10.1080/23311835.2017.1385375zbMath1427.91248OpenAlexW2760240463MaRDI QIDQ5193460

Yan Zhang

Publication date: 10 September 2019

Published in: Cogent Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/23311835.2017.1385375

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlannuitymultiscale stochastic volatility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10) Actuarial mathematics (91G05)

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