The Existence of Optimal Bang-Bang Controls for GMxB Contracts
نویسندگان
چکیده
منابع مشابه
The Existence of Optimal Bang-Bang Controls for GMxB Contracts
A large collection of financial contracts offering guaranteed minimum benefits are often posed as control prob4 lems, in which at any point in the solution domain, a control is able to take any one of an uncountable number of 5 values from the admissible set. Often, such contracts specify that the holder exerts control at a finite number of 6 deterministic times. The existence of an optimal ban...
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We study bang–bang control problems that depend on a parameter p. For a fixed nominal parameter p0, it is assumed that the bang-bang control has finitely many switching points and satisfies second order sufficient conditions (SSC). SSC are formulated and checked in terms of an associated finitedimensional optimization problem w.r.t. the switching points and the free final time. We show that the...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2015
ISSN: 1945-497X
DOI: 10.1137/140953885