H-J-B equations of optimal consumption-investment and verification theorems
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Publication:2348617
DOI10.1007/s00245-014-9258-0zbMath1320.35348MaRDI QIDQ2348617
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
utility maximization; infinite time horizon; factor models; risk-sensitive stochastic control; H-J-B equation
49L20: Dynamic programming in optimal control and differential games
91B16: Utility theory
35J60: Nonlinear elliptic equations
93E20: Optimal stochastic control
60F10: Large deviations
91B26: Auctions, bargaining, bidding and selling, and other market models
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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