Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
From MaRDI portal
Publication:5388683
DOI10.1137/100793396zbMath1242.90285arXiv1005.3956OpenAlexW2000465147MaRDI QIDQ5388683
Sheng Miao, Harry Zheng, Baojun Bian
Publication date: 19 April 2012
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.3956
verification theoremnonsmooth utility maximizationsmooth value functiondual control problemclassical solution to HJB equation
Optimality conditions and duality in mathematical programming (90C46) Dynamic programming in optimal control and differential games (49L20)
Related Items (21)
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation ⋮ Turnpike property and convergence rate for an investment model with general utility functions ⋮ Decrease of capital guarantees in life insurance products: can reinsurance stop it? ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Effective approximation methods for constrained utility maximization with drift uncertainty ⋮ Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization ⋮ Turnpike property and convergence rate for an investment and consumption model ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ Non-concave expected utility optimization with uncertain time horizon ⋮ An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon ⋮ Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization ⋮ Least-squares Monte-Carlo methods for optimal stopping investment under CEV models ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics ⋮ Optimal investment of DC pension plan under short-selling constraints and portfolio insurance ⋮ Recursive utility optimization with concave coefficients ⋮ Utility Maximization Under Trading Constraints with Discontinuous Utility ⋮ Backward SDEs for control with partial information ⋮ Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model ⋮ Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan ⋮ Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation ⋮ Constrained nonsmooth utility maximization on the positive real line
This page was built for publication: Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
