On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: I. Existence of Solution
DOI10.1137/110794845zbMath1252.49026OpenAlexW2019570835MaRDI QIDQ3143264
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Publication date: 29 November 2012
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/110794845
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov and semi-Markov decision processes (90C40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)
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