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/
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- 91B - - - - - -
- 93E - - - - - -
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- 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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- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2004. "Optimal design of the guarantee for defined contribution funds," ULB Institutional Repository 2013/7602, ULB -- Universite Libre de Bruxelles.
- El Karoui, Nicole & Jeanblanc, Monique & Lacoste, Vincent, 2005. "Optimal portfolio management with American capital guarantee," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 449-468, March.
- Alan Brace & Dariusz G�atarek & Marek Musiela, 1997. "The Market Model of Interest Rate Dynamics," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 127-155.
- Tiziano Vargiolu, 1999. "Invariant measures for the Musiela equation with deterministic diffusion term," Finance and Stochastics, Springer, vol. 3(4), pages 483-492.
- 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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