IIARD International Institute of Academic Research and Development

INTERNATIONAL JOURNAL OF APPLIED SCIENCES AND MATHEMATICAL THEORY (IJASMT )

E- ISSN 2489-009X
P- ISSN 2695-1908
VOL. 9 NO. 1 2023
DOI: https://doi.org/10.56201/ijasmt.v9.no1.2023.pg14.18

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On The Solution of Pension Fund Investment and Utility Optimization with Backward Stochastic PDE

Onwukwe Ijioma

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Abstract

The problem of maximizing expected utility of pension fund investment returns from terminal wealth is considered. This observable stochastic control problem turns out to be a risky sensitive type especially with random economic factors. Under some assumptions , we established the BSPDE with a corresponding strategy that is optimal .

keywords:

Pension funds, Utility Optimization, Doléans measure, Backward PDE

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References:

Devolder,P., Janssen, J., and Manca, R. “ On certain integrals of optimal control of
Defined
contribution Pension Scheme”, John Wiley and Sons , Inc., 2013

Mania M. and Tevzadze R. “ Backward Stochastic PDE and Incomplete Hedging”,
International Journal of Theoretical and Applied Finance, vol. 6, 7,(2003), 663-692

N.Kazamaki, “ Continuous Exponential Martingale and BMO” Lecture Notes in

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