Pension funds with a minimum guarantee: a stochastic control approach

Marina Di Giacinto (), Salvatore Federico () and Fausto Gozzi

Finance and Stochastics, 2011, vol. 15, issue 2, 297-342

Keywords: Defined contribution pension fund; Minimum guarantee; Stochastic optimal control; Dynamic programming; Hamilton–Jacobi–Bellman equation; Viscosity solution; 91B28; 93E20; 49L25; C61; G11; G23 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s00780-010-0127-7

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