On dynamic programming equations for utility indifference pricing under delta constraints
DOI10.1016/J.JMAA.2011.02.053zbMATH Open1214.91144OpenAlexW2023476536MaRDI QIDQ534745FDOQ534745
Publication date: 10 May 2011
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.02.053
viscosity solutionHARA utilitydynamic programming equationportfolio constraintutility indifference price
Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80)
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Cited In (2)
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