A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory
DOI10.3934/JIMO.2021137OpenAlexW3190975144MaRDI QIDQ2171069FDOQ2171069
Publication date: 23 September 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2021137
Hamilton-Jacobi-Bellman equationoptimal stochastic controlportfolio optimizationstochastic delay factors
Actuarial mathematics (91G05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65)
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- A stochastic portfolio optimization model with bounded memory
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- Stochastic control problems with delay
- Mean field and n‐agent games for optimal investment under relative performance criteria
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