Optimal chance-constrained pension fund management through dynamic stochastic control.

Davide Lauria Giorgio Consigli Francesca Maggioni

Published in: OR Spectr. (2022)

Keyphrases

stochastic control
chance constrained
optimal control
control problems
computationally tractable
queueing systems
reverse logistics
stochastic programming
operations management
optimal solution
dynamic environments
total cost
expected cost
brownian motion