On The Solution of Pension Fund Investment and Utility Optimization with Backward Stochastic PDE
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 fundsUtility OptimizationDoléans measureBackward PDE
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
More Articles from INTERNATIONAL JOURNAL OF APPLIED SCIENCES AND MATHEMATICAL THEORY
5-Point Block Backward Differentiation Formulae for Solving Stiff Chemical Reaction Problems of Ordinary Differential Equations
Author: Samson Yunusa, Imande Terdon Terlumun,, Etuk Emmanuel Dan, and Micah Michael
Analytical–Numerical Solution of a Temperature-Dependent Volterra Integro-Differential Model for Avian Influenza Transmission with Saturated Incidence and Environmental Feedback Via an Enhanced Adomian Decomposition Method
Author: Ejes, Valentine, Liberty Ebiwareme
Modelling Dengue Transmission Dynamics using a Two-Time Delay Differential Equation
Author: Uwakwe, J. I., Anyanwu, E., Inalegwu, N.
Intelligent Diagnosis and Dynamic Differentiated Instruction for High-School Mathematics Concepts Based on APOS Theory - Model Development, Implementation Pathway, And Validation Plan
Author: Xi Yang, Wenzhuo Zhang
Distribution-Free Error Control for Fraud Alert Triage: Conformal Anomaly P-Values Under Class Imbalance, Concept Drift, and Calibration Contamination
Author: Olamiji Onafowokan1, Olawale Fadugba2, Deborah Okunola1, Alex Mendy1