Regularity properties in a state-constrained expected utility maximization problem (Q1616834)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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