A stochastic control problem with delay arising in a pension fund model

This paper deals with the optimal control of a stochastic delay differential equation arising in the management of a pension fund with surplus. The problem is approached by the tool of the representation in infinite dimension. We show the equivalence between the 1-dimensional delay problem and the associated infinite dimensional problem without delay. Then we prove that the value function is continuous in this infinite dimensional setting. These results represent a starting point for the investigation of the associated infinite dimensional Hamilton-Jacobi-Bellman equation in the viscosity sense and for approaching the problem by numerical algorithms

A stochastic control problem with delay arising in a pension fund model / S. Federico. - In: FINANCE AND STOCHASTICS. - ISSN 0949-2984. - 15:3(2011), pp. 421-459.

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Titolo: A stochastic control problem with delay arising in a pension fund model
Autori: 
FEDERICO, SALVATORE (Primo)
Parole Chiave: Pension funds ; Stochastic optimal control with delay ; Infinite dimensional Hamilton-Jacobi-Bellman equations ; Viscosity solutions
Settore Scientifico Disciplinare: Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Settore MAT/06 - Probabilita' e Statistica Matematica
Data di pubblicazione: 2011
Rivista: 
FINANCE AND STOCHASTICS  
Tipologia: Article (author)
Digital Object Identifier (DOI): http://dx.doi.org/10.1007/s00780-010-0146-4
Appare nelle tipologie:01 - Articolo su periodico

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Utilizza questo identificativo per citare o creare un link a questo documento:
http://hdl.handle.net/2434/212591
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