Solving a Hamilton–Jacobi–Bellman equation with constraints (Q5410801)
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scientific article; zbMATH DE number 6286596
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving a Hamilton–Jacobi–Bellman equation with constraints |
scientific article; zbMATH DE number 6286596 |
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Solving a Hamilton–Jacobi–Bellman equation with constraints (English)
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17 April 2014
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optimal investment
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maximal survival probability
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constraints
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viscosity solutions
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