Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation

DOI10.1016/j.jedc.2009.09.002zbMath1182.91161OpenAlexW2076213360MaRDI QIDQ846513

J. Wang, Peter A. I. Forsyth

Publication date: 9 February 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2009.09.002

zbMATH Keywords

optimal controlviscosity solutionHJB equationmean variance tradeoff

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Finite difference methods for boundary value problems involving PDEs (65N06) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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