scientific article; zbMATH DE number 5773758

MaRDI QIDQ3585691zbMATH OpenFDO

Authors Zuzana MacOvá, Daniel Ševčovič

Publication date 20 August 2010

Full work available at URL https://arxiv.org/abs/0905.0155, http://www.math.ualberta.ca/ijnam/Volume7.htm

zbMATH Keywords

asymptotic expansionHamilton-Jacobi-Bellman equationnonlinear parabolic equationpension savings accumulation modelstochastic dynamic programming

Mathematics Subject Classification ID

Asymptotic expansions of solutions to ordinary differential equations (34E05) Nonlinear parabolic equations (35K55) Hamilton-Jacobi equations in mechanics (70H20) Stochastic programming (90C15) Utility theory (91B16) Stochastic models in economics (91B70) Financial applications of other theories (91G80)

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Cited in

(6)

• 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
• Numerical solution of a nonlinear evolution equation for the risk preference
• Nonlinear Parabolic Equations Arising in Mathematical Finance

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