Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation (Q2318503)
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scientific article; zbMATH DE number 7094582
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| English | Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation |
scientific article; zbMATH DE number 7094582 |
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Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation (English)
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15 August 2019
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dynamic stochastic portfolio optimization
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dynamic utility
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Hamilton-Jacobi-Bellman equation
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Riccati transformation
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finite volume scheme
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0.8943447
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0.8748932
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0.8718254
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0.8710643
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0.86989933
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0.8612779
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0.85689116
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