Stochastic target hitting time
(J Filar with Y Li, K Boda and L Spanjers)
This project involves a problem of optimal control of a 'retirement investment fund' over a finite time horizon with target hitting-time criteria. That is, an employee needs to decide, at each stage, what percentage of the current retirement fund to allocate to the limited number of investment options so as to maximise the probability that his or her wealth exceeds the target $x prior to retirement.
Markov Decision Processes with a probability criterion are used to model this problem and analyse examples based on data from certain options available in some Australian retirement funds.