Regularity properties in a state-constrained expected utility maximization problem (Q1616834): Difference between revisions

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Revision as of 18:23, 19 March 2024

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Regularity properties in a state-constrained expected utility maximization problem
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    Regularity properties in a state-constrained expected utility maximization problem (English)
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    7 November 2018
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    expected utility maximization problem
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    value function
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    price impact
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    optimal strategy
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    dynamic programming principle
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    Bellman's principle
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    Hamilton-Jacobi-Bellman equation
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    viscosity solution
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    comparison principle
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