An HJB approach to a general continuous-time mean-variance stochastic control problem (Q1756027)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An HJB approach to a general continuous-time mean-variance stochastic control problem |
scientific article |
Statements
An HJB approach to a general continuous-time mean-variance stochastic control problem (English)
0 references
11 January 2019
0 references
mean-variance
0 references
stochastic control
0 references
Hamilton-Jacobi-Bellman equation
0 references
Sobolev solutions
0 references
viscosity solutions
0 references
