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 a representation in infinite dimension. We show the equivalence between the one-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. Also an example with complete solution of a simpler but similar problem is provided. © 2010 Springer-Verlag.

Federico S. (2011). A stochastic control problem with delay arising in a pension fund model. FINANCE AND STOCHASTICS, 15(3), 421-459 [10.1007/s00780-010-0146-4].

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

Federico S.
2011

Abstract

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 a representation in infinite dimension. We show the equivalence between the one-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. Also an example with complete solution of a simpler but similar problem is provided. © 2010 Springer-Verlag.
2011
Federico S. (2011). A stochastic control problem with delay arising in a pension fund model. FINANCE AND STOCHASTICS, 15(3), 421-459 [10.1007/s00780-010-0146-4].
Federico S.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/943355
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