caa a22 4500 445363215 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20110901xx s 000 0 eng 10.1007/s00780-010-0146-4 doi (NATIONALLICENCE)springer-10.1007/s00780-010-0146-4 Federico Salvatore Scuola Normale Superiore, Piazza dei Cavalieri, 56125, Pisa, Italy aut A stochastic control problem with delay arising inapension fund model [Elektronische Daten] [Salvatore Federico] This paper deals with the optimal control of a stochastic delay differential equation arising in the management of a pension fund with surplus. The problem is approached by the tool of a representation in infinite dimension. We show the equivalence between the one-dimensional delay problem and the associated infinite-dimensional problem without delay. Then we prove that the value function is continuous in this infinite-dimensional setting. These results represent a starting point for the investigation of the associated infinite-dimensional Hamilton-Jacobi-Bellman equation in the viscosity sense and for approaching the problem by numerical algorithms. Also an example with complete solution of a simpler but similar problem is provided. Springer-Verlag, 2010 Pension funds nationallicence Stochastic optimal control with delay nationallicence Infinite-dimensional Hamilton-Jacobi-Bellman equations nationallicence Viscosity solutions nationallicence Finance and Stochastics Springer-Verlag 15/3(2011-09-01), 421-459 0949-2984 15:3<421 2011 15 780 https://doi.org/10.1007/s00780-010-0146-4 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0146-4 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Federico Salvatore Scuola Normale Superiore, Piazza dei Cavalieri, 56125, Pisa, Italy aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/3(2011-09-01), 421-459 0949-2984 15:3<421 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer