A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory

DOI10.3934/JIMO.2021137MaRDI QIDQ2171069zbMATH OpenOpenAlexFDO

Authors Xuhui Wang, Lei Hu

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal stochastic controlportfolio optimizationstochastic delay factors

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 2134039 (Why is no real title available?)
• scientific article; zbMATH DE number 3936125 (Why is no real title available?)
• A stochastic portfolio optimization model with bounded memory
• Mean field and \(n\)-agent games for optimal investment under relative performance criteria
• Optimal stochastic control, stochastic target problems, and backward SDE.
• Optimum consumption and portfolio rules in a continuous-time model
• Some Solvable Stochastic Control Problems With Delay
• Stochastic control problems with delay
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?

Cited in

(3)

• A stochastic portfolio optimization model with bounded memory
• An application of functional Ito's formula to stochastic portfolio optimization with bounded memory
• A stochastic portfolio optimization model with complete memory

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