The optimal mean variance problem with inflation

DOI10.3934/dcdsb.2016.21.185zbMath1327.90362MaRDI QIDQ894986

Alain Bensoussan, Jingzhen Liu, Ka-Fai Cedric Yiu

Publication date: 25 November 2015

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2016.21.185

zbMATH Keywords

inflation; HJB equation; partial information; mean variance

Mathematics Subject Classification ID

90C39: Dynamic programming

93E20: Optimal stochastic control

35K61: Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations

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