On dynamic programming equations for utility indifference pricing under delta constraints

DOI10.1016/J.JMAA.2011.02.053MaRDI QIDQ534745zbMATH OpenOpenAlexFDO

Authors Takashi Adachi

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

zbMATH Keywords

viscosity solutionHARA utilitydynamic programming equationportfolio constraintutility indifference price

Mathematics Subject Classification ID

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)

• On an aggregate state-price deflator in a multi-period market model
• Pricing via utility maximization and entropy.

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