STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION

DOI10.17654/0972086323003MaRDI QIDQ6170163zbMATH OpenOpenAlexFDO

Authors Frédéric Béré

Publication date 15 August 2023

Published in Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.17654/0972086323003

zbMATH Keywords

semimartingaleoptimal stochastic controlviscosity solutionstochastic Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) PDEs with randomness, stochastic partial differential equations (35R60) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites work

• scientific article; zbMATH DE number 3883346 (Why is no real title available?)
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Portfolio selection with transactions costs
• Shadow price approximation for the fractional Black Scholes model
• Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
• Stochastic Hamilton–Jacobi–Bellman Equations
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations

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