On regularity of dynamic value function related to the utility maximization problem

MaRDI QIDQ3463747zbMATH OpenFDO

Authors M. Mania, R. Tevzadze

Publication date 20 January 2016

Full work available at URL http://www.rmi.ge/proceedings/volumes/pdf/v168-6.pdf

zbMATH Keywords

backward stochastic partial differential equationcomplete marketsutility maximizationvalue function

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(5)

• Regularity properties in a state-constrained expected utility maximization problem
• On the properties of dynamic value functions in the problem of optimal investment in incomplete markets
• A Note on Generating Globally Regular Indirect Utility Functions
• Differentiability of the value function in the robust utility maximization problem
• Asymptotic \(C^{1,\gamma}\)-regularity for value functions to uniformly elliptic dynamic programming principles

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