Abstract This paper presents a brief survey of the continuous-time model of financial market used... more Abstract This paper presents a brief survey of the continuous-time model of financial market used to develop the theory of contingent claims valuation. New results are given on the existence, uniqueness and regularity of the solution of the resulting evolution problems. Proofs and computational methods will be given in [6].
In this article we formulate and solve the optimal design problem of a defined contribution publi... more In this article we formulate and solve the optimal design problem of a defined contribution public pension fund, in a highly stylized but still rather general non-stationary framework. We adopt the viewpoint of a benevolent social planner who aims at treating in a fair manner the successive overlapping generations participating to such a long-term mandatory system. Using the approach of
Comptes Rendus de l Académie des Sciences - Series I - Mathematics
We extend the concept of least-regrets control introduced by J.-L. Lions [C. R. Acad. Sci., Paris... more We extend the concept of least-regrets control introduced by J.-L. Lions [C. R. Acad. Sci., Paris, Ser. I 315, No. 12, 1253-1257 (1992; Zbl 0766.93033)] and proposes an analysis of the interaction of heterogeneous agents when they use this new decision criteria in situations of uncertainty.
Abstract This paper presents a brief survey of the continuous-time model of financial market used... more Abstract This paper presents a brief survey of the continuous-time model of financial market used to develop the theory of contingent claims valuation. New results are given on the existence, uniqueness and regularity of the solution of the resulting evolution problems. Proofs and computational methods will be given in [6].
In this article we formulate and solve the optimal design problem of a defined contribution publi... more In this article we formulate and solve the optimal design problem of a defined contribution public pension fund, in a highly stylized but still rather general non-stationary framework. We adopt the viewpoint of a benevolent social planner who aims at treating in a fair manner the successive overlapping generations participating to such a long-term mandatory system. Using the approach of
Comptes Rendus de l Académie des Sciences - Series I - Mathematics
We extend the concept of least-regrets control introduced by J.-L. Lions [C. R. Acad. Sci., Paris... more We extend the concept of least-regrets control introduced by J.-L. Lions [C. R. Acad. Sci., Paris, Ser. I 315, No. 12, 1253-1257 (1992; Zbl 0766.93033)] and proposes an analysis of the interaction of heterogeneous agents when they use this new decision criteria in situations of uncertainty.
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