Optimal control problems for stochastic processes with absorbing regime

DOI10.31390/JOSA.4.1.06MaRDI QIDQ6922955zbMATH OpenFDO

Authors Yaacov Kopeliovich

Publication date 30 September 2025

Published in Journal of Stochastic Analysis (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal controlstochastic processMerton portfolio problemabsorbing regime

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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