Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs
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Publication:3557933
DOI10.1137/070686998zbMath1195.93145OpenAlexW2077436923MaRDI QIDQ3557933
Nikolaos Englezos, Ioannis Karatzas
Publication date: 28 April 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/6271dc37cf95c18677f5accbc3aa61ba68476f34
random fieldshabit formationstochastic Hamilton-Jacobi-Bellman equationfeedback formulaegeneralized utility functionstochastic backward partial differential equations
Statistical methods; risk measures (91G70) Utility theory (91B16) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
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