Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs

DOI10.1137/070686998zbMath1195.93145OpenAlexW2077436923MaRDI QIDQ3557933

Nikolaos Englezos, Ioannis Karatzas

Publication date: 28 April 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6271dc37cf95c18677f5accbc3aa61ba68476f34

zbMATH Keywords

random fieldshabit formationstochastic Hamilton-Jacobi-Bellman equationfeedback formulaegeneralized utility functionstochastic backward partial differential equations

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Utility theory (91B16) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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