Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
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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)
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