Study of a degenerate elliptic equation in an optimal consumption problem under partial information

DOI10.1007/S13160-015-0170-ZMaRDI QIDQ2352145zbMATHOpenAlexFDO

Authors Yusuke Watanabe

Publication date 30 June 2015

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13160-015-0170-z

zbMATH Keywords

hidden Markov modelsHJB equationstochastic controldegenerate elliptic equationfiltering equationoptimal consumption problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Degenerate elliptic equations (35J70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 5942854 (Why is no real title available?)
• scientific article; zbMATH DE number 3770124 (Why is no real title available?)
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
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• On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: I. Existence of solution
• On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: II. Verification theorem
• Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain
• Optimal consumption and investment under partial information
• Optimal investment under partial information
• PDE approach to utility maximization for market models with hidden Markov factors
• Risk-sensitive portfolio optimization problems for hidden Markov factors on infinite time horizon

Cited in

(3)

• Well-posedness for degenerate elliptic PDE arising in optimal learning strategies
• Indefinite LQ optimal control with equality constraint for discrete-time uncertain systems
• An optimal consumption and investment problem with partial information

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