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

DOI10.1007/S13160-012-0087-8MaRDI QIDQ1943085zbMATH OpenOpenAlexFDO

Authors Naoyuki Ishimura, Daniel Ševčovič

Publication date 15 March 2013

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

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

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)

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.

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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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