Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem

DOI10.3792/PJAA.84.11zbMATH Open1139.35059OpenAlexW1985711989WikidataQ115219889 ScholiaQ115219889MaRDI QIDQ2482946FDOQ2482946

Authors: Ryo Abe, Naoyuki Ishimura 

Publication date: 30 April 2008

Published in: Proceedings of the Japan Academy. Series A (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.pja/1201186679

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zbMATH Keywords

value functionfixed point approachArrow-Pratt coefficientabsolute risk aversion

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60)

Cites Work

• The pricing of options and corporate liabilities
• Elliptic partial differential equations of second order
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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• Risk Aversion in the Small and in the Large
• The Mathematics of Financial Derivatives
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• On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
• A degenerating family of quintic surfaces with trivial monodromy
• Numerical treatment of a singular nonlinear partial differential equation arising in the optimal investment

Cited In (17)

• Solution of a class of investment developmental equations
• Title not available (Why is that?)
• Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation
• Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation†
• Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem
• Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation
• A study on the impact of nonlinear source term in Black-Scholes option pricing model
• Numerical treatment of a singular nonlinear partial differential equation arising in the optimal investment
• Title not available (Why is that?)
• Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
• A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
• A note on the optimal portfolio problem in discrete processes
• Numerical solution of a nonlinear evolution equation for the risk preference
• On traveling wave solutions to a Hamilton-Jacobi-Bellman equation with inequality constraints
• Traveling wave solutions to the nonlinear evolution equation for the risk preference
• Nonlinear Parabolic Equations Arising in Mathematical Finance
• Note on a nonlinear evolution equation for the risk preference

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