A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate

DOI10.1002/num.23075zbMath1544.91271MaRDI QIDQ6556883

Duy Minh Dang, Yaowen Lu

Publication date: 17 June 2024

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

zbMATH Keywords

monotonicityviscosity solutionstochastic interest rateimpulse controljump-diffusionguaranteed minimum withdrawal benefitvariable annuity

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)

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