Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs (Q3557933)
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scientific article; zbMATH DE number 5702444
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| English | Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs |
scientific article; zbMATH DE number 5702444 |
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Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs (English)
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28 April 2010
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habit formation
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generalized utility function
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random fields
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stochastic backward partial differential equations
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feedback formulae
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stochastic Hamilton-Jacobi-Bellman equation
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0.8968656
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0.8808752
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0.87968445
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0.87876076
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0.87568307
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0.86248016
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0.85973597
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0.8571178
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