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

DOI10.3934/JIMO.2021137OpenAlexW3190975144MaRDI QIDQ2171069FDOQ2171069

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

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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)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Some Solvable Stochastic Control Problems With Delay
• A stochastic portfolio optimization model with bounded memory
• Title not available (Why is that?)
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
• Title not available (Why is that?)
• Optimal stochastic control, stochastic target problems, and backward SDE.
• Stochastic control problems with delay
• Mean field and n‐agent games for optimal investment under relative performance criteria

Cited In (1)

• A stochastic portfolio optimization model with bounded memory

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