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引用本文:????.?????????DC?????????????????[J].应用概率统计,2018,34(5):441-449.
作者姓名:????
作者单位:??????????, ????, 710123; ????????????????????, ????, 710049
摘    要:

关 键 词:DC???????  Vasicek???????  ?????????  ??Ч??  ????--???ο???  

Stochastic Differential Game for DC Pension under Stochastic Interest Rate
YANG Peng.Stochastic Differential Game for DC Pension under Stochastic Interest Rate[J].Chinese Journal of Applied Probability and Statisties,2018,34(5):441-449.
Authors:YANG Peng
Institution:School of Science, Xijing University, Xi'an,710123, China?? School of Mathematics and Statistics, Xi'an Jiaotong University, Xi'an, 710049, China
Abstract:This paper investigate a stochastic differential games for DC (defined contribution plans) pension under Vasicek stochastic interest rate. The finance market as the hypothetical counterpart, the investor as pension the leader of game. Our goal is through the game between pension plan investor and financial market, obtain optimal strategies to maximizes the expected utility of the terminal wealth. Under power utility function, by using stochastic control theory, we obtain closed-form solutions for the value function as well as the strategies. Finally, explain the research results in the economic sense, and though numerical calculation given the influence of some parameters on the optimal strategies
Keywords:DC pension  Vasicek stochastic interest rate  stochastic differential games  power utility  linear-quadratic control  
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