On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs
DOI10.1137/130934234zbMath1329.35008OpenAlexW3124043031MaRDI QIDQ2945617
Christoph Belak, Jörn Sass, Olaf Menkens
Publication date: 14 September 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: http://doras.dcu.ie/20852/1/OA__Uniqueness_of_Viscosity_Solutions.pdf
Financial applications of other theories (91G80) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Comparison principles in context of PDEs (35B51)
Related Items (7)
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