H-J-B equations of optimal consumption-investment and verification theorems

DOI10.1007/s00245-014-9258-0zbMath1320.35348OpenAlexW2072414032MaRDI QIDQ2348617

Hideo Nagai

Publication date: 15 June 2015

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-014-9258-0

zbMATH Keywords

utility maximizationinfinite time horizonfactor modelsrisk-sensitive stochastic controlH-J-B equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Large deviations (60F10) Auctions, bargaining, bidding and selling, and other market models (91B26) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (9)

Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ An Optimal Consumption Problem for General Factor Models ⋮ An optimal portfolio and consumption problem with a benchmark and partial information ⋮ Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ An optimal consumption and investment problem with partial information ⋮ Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy ⋮ Portfolio optimization for assets with stochastic yields and stochastic volatility ⋮ On the parabolic equation for portfolio problems ⋮ The investor problem based on the HJM model

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