On traveling wave solutions to a Hamilton-Jacobi-Bellman equation with inequality constraints

DOI10.1007/S13160-012-0087-8zbMATH Open1263.35139arXiv1108.1035OpenAlexW2107022367MaRDI QIDQ1943085FDOQ1943085

Authors: Naoyuki Ishimura, Daniel Ševčovič 

Publication date: 15 March 2013

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Abstract: The aim of this paper is to construct and analyze solutions to a class of Hamilton-Jacobi-Bellman equations with range bounds on the optimal response variable. Using the Riccati transformation we derive and analyze a fully nonlinear parabolic partial differential equation for the optimal response function. We construct monotone traveling wave solutions and identify parametric regions for which the traveling wave solution has a positive or negative wave speed.

Full work available at URL: https://arxiv.org/abs/1108.1035

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationtraveling wave solutionstochastic dynamic programmingRiccati transformation

Mathematics Subject Classification ID

Stochastic programming (90C15) Utility theory (91B16) Nonlinear parabolic equations (35K55) Hamilton-Jacobi equations in mechanics (70H20) Stochastic models in economics (91B70) Asymptotic expansions of solutions to ordinary differential equations (34E05)

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Cited In (5)

• Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation
• Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem
• Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation
• A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
• Nonlinear Parabolic Equations Arising in Mathematical Finance

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