Ukrainian Mathematical Bulletin

Volume 3, Issue 2, 2006 pp. 157-176.

Control for a Saving-consumer Fund with Functions of an Insurance Company

Authors: Boris V. Bondarev and Artem V. Baev
Author institution: Donetsk National University, ul. Universitetskaya, 24, 83055, Donetsk, Ukraine bvbondarev@cable.netlux.org, tv@matfak.dongu.donetsk.ua

Summary: We consider a saving-expenditure model of a company that invests in non-risk and risk bonds, and which is created for a concrete finite time. The amount of claims to the company is proportional to the company's capital; expenditures are also accounted for in the model. We solve the optimal control problem for managing the investment portfolio and the expenditure. Optimal controls are found for the proposed quality functional to assume the maximal value.

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