A stochastic control problem with delay arising in a pension fund model
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 15 (2011)
Issue (Month): 3 (September)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 91B - - - - - -
- 93E - - - - - -
- 49L - - - - - -
- 34K - - - - - -
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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- Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2013. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Papers 1301.0280, arXiv.org.
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