STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION
DOI10.17654/0972086323003OpenAlexW4315864891MaRDI QIDQ6170163FDOQ6170163
Authors: Frédéric Béré 
Publication date: 15 August 2023
Published in: Far East Journal of Theoretical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.17654/0972086323003
semimartingaleoptimal stochastic controlviscosity solutionstochastic Hamilton-Jacobi-Bellman equation
Hamilton-Jacobi equations (35F21) PDEs with randomness, stochastic partial differential equations (35R60) Hamilton-Jacobi equations in optimal control and differential games (49L12)
Cites Work
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Stochastic Hamilton–Jacobi–Bellman Equations
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
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- Portfolio selection with transactions costs
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
- Shadow price approximation for the fractional Black Scholes model
- Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations
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