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)

Full work available at URL https://doi.org/10.31390/JOSA.4.1.06

zbMATH Keywords

absorbing regimeHamilton-Jacobi-Bellman equationMerton portfolio problemoptimal controlstochastic process

Mathematics Subject Classification ID

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

Cites work

• Dynamic portfolio optimization with a defaultable security and regime-switching
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Nearly-optimal asset allocation in hybrid stock investment models.
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio optimization with a defaultable security
• Strategic asset allocation

Cited in

(1)

• On Merton's optimal portfolio problem with sporadic bankruptcy for isoelastic utility

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