A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM
DOI10.1017/S144618111300031XzbMath1292.35298arXiv1307.3672MaRDI QIDQ2874280
Soňa Kilianová, Daniel Ševčovič
Publication date: 29 January 2014
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.3672
Stochastic programming (90C15) Nonlinear parabolic equations (35K55) Dynamic programming (90C39) Financial applications of other theories (91G80) PDEs with randomness, stochastic partial differential equations (35R60) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93)
Related Items (7)
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