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

DOI10.3792/PJAA.84.11MaRDI QIDQ2482946zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

absolute risk aversionArrow-Pratt coefficientfixed point approachvalue function

Mathematics Subject Classification ID

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

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Cites work

• A degenerating family of quintic surfaces with trivial monodromy
• Elliptic partial differential equations of second order
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• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Numerical treatment of a singular nonlinear partial differential equation arising in the optimal investment
• On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Risk Aversion in the Small and in the Large
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(17)

• On traveling wave solutions to a Hamilton-Jacobi-Bellman equation with inequality constraints
• 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
• Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
• Solution of a class of investment developmental equations
• Traveling wave solutions to the nonlinear evolution equation for the risk preference
• A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
• Numerical solution of a nonlinear evolution equation for the risk preference
• Note on a nonlinear evolution equation for the risk preference
• scientific article; zbMATH DE number 5952701 (Why is no real title available?)
• Numerical treatment of a singular nonlinear partial differential equation arising in the optimal investment
• A note on the optimal portfolio problem in discrete processes
• scientific article; zbMATH DE number 2067164 (Why is no real title available?)
• Nonlinear Parabolic Equations Arising in Mathematical Finance
• Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation†
• Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation
• A study on the impact of nonlinear source term in Black-Scholes option pricing model

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